股票市场操纵、定价效率与投资者福利：影响评估及监管路径

Asset pricing theory shows that market manipulators can influence the behavior of other investors by spreading information or trading behavior, making the stock price biased toward their own interests. A large number of empirical studies confirm the existence of market manipulation and the harm to pricing efficiency. But limited to the difficulty of data acquisition, empirical research providing direct evidence is insufficient. At the same time, the market impact of market manipulation and the effectiveness of existing regulation have not been fully understood. Using 1141 manipulation cases in 6 categories manually collected from CSRC administrative penalty decision reports from 2004 to 2018, the project investigates the impact of market manipulation on pricing efficiency, market quality and investors’ welfare. Furthermore, the project examines the underlying mechanism of market manipulation from the perspectives of investors' limited attention, herd effect, and information asymmetry. In addition, the project tests the effects of existing market regulation on inhibiting market manipulation and improving market quality through natural experiments and other methods. This project is an important supplement to the empirical literature in the field of market manipulation. It contributes to the understanding of the impact and underlying mechanism of market manipulation. And it provides practical guidance for the regulatory system construction and investor protection.

资产定价理论认为，市场操纵者能够通过散布信息或交易行为影响其他投资者的行为，使得股价偏向对自己有利方向。虽然大量实证研究证实了市场操纵存在的广泛性和对定价效率的危害性，但限于数据获取的困难，提供直接证据的实证研究较少。同时，市场操纵的市场影响及现有监管制度的有效性尚未得到充分研究。本项目利用手动整理的中国证监会行政处罚决定书在2004-2018年共计14年间披露的6类共计1141件市场操纵案例，全面评估市场操纵对定价效率、市场质量和投资者福利产生的影响。进一步，本项目在投资者有限注意力、羊群效应、信息不对称等视角下考察市场操纵行为的影响机制。此外，本项目通过自然实验等方法检验了现有市场监管制度对于抑制市场操纵行为、提高市场质量的效果。本项目是对市场操纵领域实证研究的重要补充，对于深入理解市场操纵行为的影响结果和影响机制有重要贡献，对于监管制度的制定、投资者保护具有指导意义。

资产定价理论认为，市场操纵者能够通过散布信息或交易行为影响其他投资者的行为，使得股价偏向对自己有利方向。本项目利用手动整理的中国证监会行政处罚决定书在2004-2022年披露的市场操纵案例，构造了样本量超过现有文献的直接实证证据。同时，本项目根据不同类型操纵的特征构造操纵识别模型，并基于识别模型侦测的中国证券市场疑似操纵案例，构造间接实证证据。基于样本量充足的实证证据，本项目全面评估了市场操纵对金融市场（股价表现、股价波动性、定价效率、信息效率、投资者福利、市场流动性）和实体经济（企业研发创新）的影响。更进一步，本项目从投资者有限注意力、投资者情绪、噪音交易者、信息不对称等影响机制考察了市场操纵对金融市场的冲击；从管理层短视主义、融资约束等影响渠道考察了市场操纵对实体经济的冲击。此外，本项目检验了交易规则制度（股票龙虎榜、证监会行政处罚）和市场参与者（分析师、审计师、机构投资者、独立董事、国有股东）对市场操纵的抑制作用。本项目的研究结论对于深入理解市场操纵行为的影响结果和影响机制有重要贡献，对于监管制度的制定、投资者保护具有指导意义。