: 3 ( 100871) : 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 (,: 70325001ΠG0206) (: 70432002), Allen Gale (1992) Allen Litov Mei (2004) (2004) Aggarwal Wu (2005) 70
2005 10 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
:,, 0 :(manipulator),(speculator), (behavior2driven trader),,, 1 2 4 5 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 - 1 - (P t ) 0 - Q t - 1 > 0 ; t 1 ; D t, D t,q t q 4,,,, q 4, MWZ,,,, 72 (2)
2005 10,,=, 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 - 1 - 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 - 1 2 =t u - 1 2 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
: 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)
2005 10,,,,,,,,, 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) 2 2 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 - (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
:,? 5 :4, 1 t u, + q 1 ; t u + k + 1 T - 1, q 2 +, 5,,,,,,, ;,,, 1 2 5 : (1) ; (2) ; (3),,, 1994, 27, 4,,322, 171 27 1996,,: 1994 1996 1997 1998 1999 2000 27 2 13 3 7 0 2, :,,;, :;( ) 1 1 : (1),,,,,, ; (2) 2, 2 : (1),,,, (2),,, 76
2005 10 1 01095 01088-01112 01068 0104 01005 01027 01002 () 01933 01117 01624 01105 () 01069 01027 01062 01027 () - 01448 01075-01418 01094 () 01079 0103 01074 0103 (1Π2) 01432 01083 01264 01082 (1Π2) 01074 01027 01065 01027 (1Π2) 0112 01091 01004 0109 (1Π2) 01068 01027 01065 01028-01471 01073-01262 01041 01039 01003 01027 01002 01001 01001-01002 01001 11232 01188 () 01048 01035 01042 01034 () 11595 01116 () - 01037 01024-01038 01025 () 11095 0122 (1Π2) 01042 01035 01038 01035 (1Π2) 11482 01103 (1Π2) - 01017 01022-0102 01024 (1Π2) 11134 01132-01005 01002-01003 01001 11122 01237 2 (, (, (, (, (, (, ) ) ) ) ) ) 01381-0104 0127 01044-0115 0162 () 01618 01695 01615 () 01188 01725 01483 () - 01814-01496 01148 () - 01879-0141 01156 (1Π2) 01344 01344 01551 (1Π2) 01077 01212 01391 (1Π2) 01787 01328 01534 (1Π2) 01673 01284 01544-01875 - 01285 01257-01375 - 01127 01285,,,,,,,MWZ,,,,,,,0,, 77
:,,,,,,,; ;,,,,,,,,,,,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), 503 529. Bagnoli, m. and B. L. Lipman, 1996,Stock Price Manipulation Through Takeover Bids, Rand Journal of Economics, 27, 124 147. Benabou, R. and G. Laroque, 1992,Using Privileged Information to Manipulate Markets : Insiders, Gurus, and Credibility, Quarterly Journal of Economics, 107(4), 921 958. 311 36. Gerard, B. and V. Nanda, 1993,Trading and Manipulation around Seasoned Equity Offerings, Journal of Finance, 48, 213 245. Hart, O., 1977,On the Profitability of Speculation, Quarterly Journal of Economics, 91, 579 597. Hart, O. and D. Kreps, 1986,Price Destabilizing Speculation, Journal of Political Economy, 94, 927 952. 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, 241 261. 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, 21 26. 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