: Mei Wu Zhou (2005),, : (1)

Transcription

1 : 3 ( ) : Mei Wu Zhou (2005),, : (1),,; (2) 0,, ; (3),, ; (4),;;,, ; (5), :,,,,,,,,,,,,,,,,,,,,,,, Hart (1977), Hart (1977),Hart Kreps(1986),Vila (1989),Allen Gale (1992),Bagnoli Lipman (1996), Gerard Nanda (1993), Benabou Laroque (1992) Jarrow (1992, 1994) Allen 3 (,: ΠG0206) (: ), Allen Gale (1992) Allen Litov Mei (2004) (2004) Aggarwal Wu (2005) 70

2 Gale (1992) :(action based manipulation) ; (information based manipulation) ;(trade based manipulation) (behavioral biases),mei Wu Zhou (2005) (MWZ ), MWZ, :(manipulator),(speculator), (behavior2driven trader) (dispositional effect),,,,,,,,,,,,,,,,,,, MWZ,,,,,MWZ,,MWZ,, MWZ,,MWZ,,,, : (1),,; ; (2) 0,, (3),, ; (4), ; (5), :, ;;,, : MWZ ; ; ; MWZ MWZ,MWZ 71

3 :,, 0 :(manipulator),(speculator), (behavior2driven trader),,, MWZ, 3, 1 : T + 1, t = 0,t = T t,,1, t ( t > 0) P t t - 1 P t - 1, q 1 ; P t P t - 1, q 2 0,P 0 ( f undamental value), 0 q 1 1, q 1 0 P 0 t ( t > 0) t ( t > 0) t,,, t, t + k ( k > 0) P t < P t + k, t + k ; P t P t + k,t + k ( < 1) MWZ, < 1 (dispositional effect),,,,, 2 :,,, 0,1 t,,,, ( ) 3 :,1, 1,q 4 ( q 4 > 0),;, t - 1 Q t - 1 = q 4 + D j (1) j = 0 t - 1 ( t 1), D 0 = 0,, t D t D t = - ( P t - P t - 1 ) = - (P t ) Q t (P t ) 0 - Q t - 1 > 0 ; t 1 ; D t, D t,q t q 4,,,, q 4, MWZ,,,, 72 (2)

4 ,,=, 4 :1, 0 1 t u ( t u > 1),, (> 0), P t - P t - 1 =, t = 1,2,, t u t u, t u + 1, T - 1 ( T > t u + 1), t d = T t u t u, 5 :T - 1 T,, P 0 MWZ : (1) ; (2), MWZ, 1 : t u q 4 ( q 4 q 4 ) h q 2 - q 1 < 0, h = q 2 - q 1 > 0, h < = q 2 - q 1, t t u t u u + 1 T - 1 P 3 = P 0 + t u,n t u =t u t u 2 1 t u, + q 1 t u + 1 T - 1 q 2,t = t u + j ( j 1) h j = (1 - ) j - 1 h : t u + 1 T - 1 P tu = P 0 + t u, 3, t u + 1,1, q 2, q 1 t u + 1, h 1 = h q 2 - q 1 t u + 2, h 2 = q 2 - ( q 1 + h) = (1 - ) h, t u + 1 t u + j (0 < j t d ) P tu = P 0 + t u,t u + j (0 < j t d ), h j = (1 - ) j- 1 h, t u + j P tu = P 0 + t u h j = (1 - ) j - 1 h t u + 1 T - 1 P tu = P 0 + t u q 4 < q 4 < q 4 + 1,2, q 4 ( ) 73

5 : t d h j = [1 - (1 - ) t d ] h j = 1 = [1 - (1 - ) t d ]Π h,t - 1 t u, t = 1 t = t u,, t (1 t t u ), q 1, q 1,,, t = 1 t = t u, + q 1 t u + 1 T - 1,, t u + j (0 < j t d ) q 2, t u + j q 2 - h j,t u + j h j, t u + j q 2 1, h > 0 (h < 0,),,, q 1, q 1, 0 ;,, t u + j (0 < j t d ), h j = (1 - ) j - 1 h ( 1 ) h > 0,, 0 ;,,,,,, 2 : h = q 2 - q 1 > 0,1, = 1-1 t u [1 - (1 - ) t d ]2 ( q 2 - q 1 ) 2 q 2 3, q 4, q 4 q 4 = 0,t u = 0, ; q 4 > 0,t u > 0, 2, 0,,, ; 0, 3 :2,2 (3) : (1),q 1 q 2 t d, q 4 ( ), P tu = P 0 + t u, ; (2),,, 74 3,, (3)

6 ,,,,,,,,, 4 : t d, N = t u > 1 - (1 - ) t d q 2 - q 1,h q 2 - q 1 > 0 k (0 < k < t d ) P tu ( ), (> 0),P t - P t - 1 = -, t = t u + k + 1,, T - 1, (1) = t u - [1 - (1 - ) t d ] q 2 - q 1 ( t d - k) (2) = t u - 1 t 2 u 2 - (1 - ) k - (1 - ) t d - ( t d - k) (1 - ) t d h - ( t d - k) ( t d - k + 1) t u, + q 1 t u + 1 t u + k q 2, t = t u + j ( k j 1) h j = (1 - ) j - 1 h t u + k + 1 T - 1 q 2 +,t = t u + j ( j > k) h j + = (1 - ) j - 1 h + : h q 2 - q 1 > 0, 1, 1 - (1 - ) t d q 2 3 q 2 - q 1, t u + 1 T - 1 N = t u > 1 - (1 - ) t d q 2 - q 1,P tu = P 0 + t u T - 1,t u (1 - ) t d q 2 - q 1,, T - 1 t u + 1 t u + k t u + k + 1 T - 1, ( t d - k)(1) (2) 1, 1 t u + k t u + k + 1 T - 1, 1,,,q 2 + t u + k + 1 T - 1 q 2 + 4,,,,,,,,, 75

7 :,? 5 :4, 1 t u, + q 1 ; t u + k + 1 T - 1, q 2 +, 5,,,,,,, ;,,, : (1) ; (2) ; (3),,, 1994, 27, 4,,322, ,,: , :,,;, :;( ) 1 1 : (1),,,,,, ; (2) 2, 2 : (1),,,, (2),,, 76

8 () () () () (1Π2) (1Π2) (1Π2) (1Π2) () () () () (1Π2) (1Π2) (1Π2) (1Π2) (, (, (, (, (, (, ) ) ) ) ) ) () () () () (1Π2) (1Π2) (1Π2) (1Π2) ,,,,,,,MWZ,,,,,,,0,, 77

9 :,,,,,,,; ;,,,,,,,,,,,2004 ::,,148,50 56 Aggarwal, R. and G. Wu, 2005,Stock Market Manipulation Theory and Evidence, Journal of Business, forthcoming. Allen, F., L. Litov and J. Mei, 2004,Large Investors, Price Manipulation, and Limits to Arbitrage : An Anatomy of Market Corners, Working Paper. Allen, F., and D. Gale, 1992,Stock2Price Manipulation, The Review of Financial Studies, 5 (3), Bagnoli, m. and B. L. Lipman, 1996,Stock Price Manipulation Through Takeover Bids, Rand Journal of Economics, 27, Benabou, R. and G. Laroque, 1992,Using Privileged Information to Manipulate Markets : Insiders, Gurus, and Credibility, Quarterly Journal of Economics, 107(4), Gerard, B. and V. Nanda, 1993,Trading and Manipulation around Seasoned Equity Offerings, Journal of Finance, 48, Hart, O., 1977,On the Profitability of Speculation, Quarterly Journal of Economics, 91, Hart, O. and D. Kreps, 1986,Price Destabilizing Speculation, Journal of Political Economy, 94, Jarrow, R. A., 1992,Market Manipulation, Bubbles, Corners and Short Squeezes, Journal of Financial and Quantitative Analysis, 27, Jarrow, R. A., 1994, Derivative Security Markets, Market Manipulation, and Option Pricing Theory, Journal of Financial and Quantitative Analysis, 29, Mei, J., G. Wu, and C. Zhou, 2005,Behavior Based Manipulation : Theory and Prosecution Evidence, Working paper. Vila, J.2L., 1989,Simple Games of Market Manipulation, Economics Letters, 29, Trading2based Market Manipulation in Chinaπs Stock Market Zhou Chunsheng, Yang Yunhong and Wang Yaping ( Guanghua School of Management, Peking University) Abstract :This paper generalizes the Mei, Wu and Zhou (2005) model to investigate the trading2based stock market manipulation in China where short sale is not allowed. The main results are : (1) The irrationality of investors and the limits of arbitrage make the trading2based manipulation possible and profitable ; (2) when the initial endowments of speculators are positive, the market manipulator can make a profit even if the short2sale of stocks is prohibited ; (3) short2sale mechanism can help to eliminate trading2based market manipulation ; (4) in the pump period of a manipulation cycle, trading is more active and there are positive correlations among trading volume, return and return volatility ; and (5) the model is supported by Chinaπs stock market data. Key Words : Chinaπs Stock Market ;Chinaπs Stock Market ;Behavioral Finance JEL Classification : G120, G180 ( :) ( : ) 78