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Empirical Analysis of Market Manipulation

Abstract: This paper empirical analysis, stock price manipulation in the homologation process shown by the number of shareholders synergies between change and the evolution of stock price movements exist in other stocks in China's securities market. And in such a collaborative process of evolution, change the number of shareholders and company performance is not highly relevant, although the performance of the company stock price changes in certain correlation, but this correlation can not be sufficient to prove that China's stock market price is the company in the basic surface reflection of the real, on the contrary that the market manipulation in the Chinese stock market effects of changes on stock prices is essential, and this synergistic evolution to some extent reflect the market manipulators manipulation process. finishing. I. Introduction in the United States, communication error or false information to mislead the market, other investors, to make the wrong trading strategy. The other is behavioral manipulation, is the manipulator by itself, or the actions of others can be real or perceived change in asset value, then the company stock price changes. Here, information manipulation and behavior is a fundamental difference between manipulation: Manipulation of information published in the value of nothing to do with the company, is false and untrue; and manipulation of the manipulator's own behavior or actions of others will change the value of the company, However, changes in the value of the company before the manipulator in advance to buy or sell stock in order to achieve their purpose. However, there is a stock market manipulation more difficult to eliminate the type, Allen and Gale (1992) called it trading manipulation, manipulator only through trading strategies to achieve the purpose of manipulating stock prices, while not used in this process any changes observed value of the company's public behavior, or changes in stock prices through the distribution of the error message. in our country, in the era of severe price manipulation, in a stock manipulation in the manipulation of these three types will often be reflected, and will in some features, form, such as prices, transaction the amount of change in the number of shareholders, or the characteristics of these types of cooperative movement and other forms. Hu Zugang (2002) and others homologation from the qualitative point of view of the manipulation of stock price manipulation of the process, and the control process into five stages: Jiancang stage, the control disk stage, pulled up the stage, down grind stage, and the rapid decline phase . We found that the change control process and the number of shareholders and the synergies between the evolution of stock price movements are closely linked. In Jiancang stage sharp decline in the number of shareholders, but shares little changed; in the control disk stage to further reduce the number of shareholders, when stock prices rise to a certain extent; to move up phase, a substantial number of shareholders does not appear to reduce, but the stock price sharply; on the decline phase, significantly increased the number of shareholders, is the corresponding stock plunged. That is, price changes and changes in the number of shareholders exercise is not only a good synergy between the different stages characterize the behavior of market manipulation, such as Jiancang, pull, etc., and this synergy can outline the evolution of the entire process of market manipulation. Therefore, this article will analyze the number of shares in Shanghai and Shenzhen stock price changes and changes in coordination between the evolution of the case to test the homologation series shown in the manipulation and such manipulation is prevalent in the process of the China Securities market. here to change the number of shareholders that a change in the percentage of time the number of shareholders, the specific formula: change = the number of shareholders (the number of shareholders at some time during the beginning of a certain number of shareholders) / number of shareholders beginning of the period × 100 %. Measure of price changes on a variety of methods, we use the natural logarithm of rate of return to that. The case from the homologation, we can find a manipulator manipulation often do not last a year or more, such as the control disk stage from early 1999 to September of that year, only 9 months, pulled up phase from 1999 in the fourth quarter to February 2000 was only 5 months, so if the number of shareholders with the annual change data, perhaps we will not distinguish, identify the different stages of manipulation. Therefore, we used half the data to study changes in the number of shareholders. Company membership data provided by the SA2000 package, the end of 2002 the number of shareholders due to the lack, we 9, 2002, the number of data to the end of the shareholders. Sample period from early 2000 to September 2002, including three early time point of three years, the number of shareholders in the data, and a quarter the number of shareholders data. Among them, 2000 to 2002 the number of shares each sample were: 287,238 and 165. The stock return data provided by the Sinofin Information Services Limited, the following tables of data are SAS8.2 platform programming operations to achieve. This paper will analyze the following three aspects of the stock market in the process of homologation existence of such market manipulation, we first consider the first half and second half of each sample stock changes and stock price changes in the number of shareholders coevolution between process; Secondly, the evolution of this synergistic relationship between future earnings and stock; Third, analyze and summarize the evolution of the law of this collaboration, as well as behind the internal mechanism. Second, changes in the number of shareholders and stock price changes in the evolution of cooperative first use of the same year in the first half,[link widoczny dla zalogowanych], second half of the number of shareholders and the return rate changes collaboration between the Cooperative Movement as a complete two-stage evolution (for the second half of 2002 we have adopted in the first half and third quarter of the year as a two-stage) analysis; Secondly, on this basis, further analysis of these two stages of its before and after the change in the number of shareholders between rate of return, which reveals the entire evolution of the law. we adopt a combination of composite groupings of structures, as follows: First, the number of shareholders on the annual change in the first half of the value of stocks from small to large order, this order construct three combinations, in addition to combination of 3, the rest portfolio contains an equal number of shares; after each combination of the above, then the second half of the value of stock changes in the number of shareholders from small to large order, and to construct three combinations in this order, in addition to combination of 3, the remaining portfolio includes equal to the number of shares, the result a total of nine combinations, and recorded as portfolio gij = 1 ... 3, j = 1 ... 3), i said that the number of shareholders in accordance with changes in the first half of the value of each division of the sample size is the first i-stock portfolio; the same time in a portfolio and i are the number of shareholders in accordance with changes in value each year by the second half of the first j sub-portfolio. If the combination of gij is the 2000, the second half of the change in value by the number of shareholders, we call it the 2000 combination of gij, and so named the other years combined; Secondly, according to the principle of buy and hold (buy-and-hold ) calculated in the first half, second half of the stock return, and then to Shanghai and Shenzhen stock return minus the market capitalization of all stocks at the same time weighted return of market portfolio, get stock excess return, then the same stocks in the portfolio weighted average excess return, etc. calculated excess return of the portfolio; Finally, the study each year in the first half, second half of the number of shareholders of each portfolio changes and the corresponding evolution of synergies between the excess return process. In the following analysis, where i = 1 for the three combinations, to analyze the first half of the number of shareholders each year substantially reduced the number of shareholders when the changes and evolution of yield synergies; i = 2 for the three combinations, to analyze the number of shareholders each year in the first half changed slightly when the number of shareholders change and the evolution of yield synergies; i = 3 for the three combinations, to analyze the first half of the number of shareholders each year substantially increased the number of shareholders changes and yield synergistic evolution.