开盘价操纵与定价效率——基于高频数据的开盘价操纵识别模型Opening Price Manipulation and Pricing Efficiency: A Detection Model of Opening Price Manipulation Based on High Frequency Data
吴崇林,刘杰,李志冰,吴偎立
摘要(Abstract)：
本文利用2007—2018年中国A股上市公司作为研究样本,基于异常交易行为构建了开盘价操纵识别模型,并利用分时高频数据实现了疑似开盘价操纵行为的监测。基于识别模型侦测的疑似开盘价操纵行为,本文实证检验了开盘价操纵与定价效率之间的关系。研究结果表明:开盘价操纵提升了日内股价短期收益率的可预测性,降低了定价效率。开盘价操纵吸引了散户投资者的流入,进而降低了定价效率,受操纵股票的散户投资者参与程度越高,定价效率越低。同时,信息不对称程度越高、投资者情绪越高涨、羊群行为越严重,开盘价操纵对定价效率的损害程度越大。
关键词(KeyWords)： 开盘价操纵;定价效率;散户投资者;信息不对称;市场环境
基金项目(Foundation): 国家自然科学基金(71903030;72103043;71702205);; 福建省自然科学基金(2020J01562);; 福建农林大学杰出青年基金(XJQ2020S3);; 对外经济贸易大学中央高校基本科研业务费专项资金资助(19QN01)的资助
作者(Author): 吴崇林,刘杰,李志冰,吴偎立
DOI: 10.16513/j.cnki.cje.2021.04.001
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- (1)数据来源:证监罚字2018年29号。在该文书披露的“江阴银行”股票操纵案中,2017年2月10日至5月9日期间,操纵者控制297个交易账户累计买入4.61亿股,成交金额84.74亿元;累计卖出4.50亿股,成交金额56.56亿元。 (2)详情请参见:http://www.csrc.gov.cn/pub/newsite/tzzbh1/tbtzzjy/tbfxff/201502/t20150226_269108.html (3)李梦雨和李志辉(2019)将满足以下三个条件的股票认定为疑似发生开盘价操纵:1.隔夜跳空幅度偏离前30个交易日均值达到3倍标准差;2.当日开盘15分钟内股价反转幅度达到50%,或当日开盘15分钟内(包括开盘集合竞价期间)出现大额撤单;3.前一交易日至当日开盘15分钟内没有与股票相关的信息披露。 (4)具体而言,重大基本面事件包括:1.资产出售与转让;2.资产置换;3.资产重组;4.资产赠与;5.资产拍卖;6.资金冻结;7.股份回购;8.借贷;9.发行企业债券;10.违规处罚及批评;11.业绩预告;12.税负变动;13.意外事故;14.重大经营合同;15.发债人违约;16.财务数据调整修正;17.经营范围变动等17项可能影响股票市场表现的事件。