Stock Price Manipulation in China— Theory and Evidence
In this paper we present a theory model and some empirical evidence on stock price manipulation in China. Under the framework of Behavioral Finance and based on Allen and Gale, Chunsheng Zhou and Jianping Mei, this paper takes the Chinese stock manipulation as research object and sets up a theory model—The behavioral biases model of stock price manipulation, which proves the possibility of stock price manipulation. We point out that the manipulator could benefit from the investor’s behavioral biases such as representative biases and dispositional effect, at the same time, the manipulator could impute parts of manipulation costs to the behavior-driven investors. There are 21 cases of stock price manipulation in China from 1990 to 2003. In this paper we summarize some features of these stock price manipulation cases: (1) most of the manipulators are institutional investors ;(2) manipulator is closely linked with listed companies;(3) manipulator normally make use of several personal accounts;(4) the commonly used methods of the manipulation are wash sales and continuous sales;(5) high degree of manipulation, the average degree of manipulation is 252.22％. The manipulation will result in higher return and volatility in the manipulation period, when the turnover rate changes slightly. This is further proved that the more return is apparently generated by price manipulation rather than the corporation real value through the dumb variable analysis. In the end, some conclusions of our theory model are tested efficiently.
stock price manipulation behavioral biases representative bias disposition effect
向中兴 赵昌文 杨记军
四川大学工商管理学院,四川,610051
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）