,., 00433;. 0000 ; ; ; F4.0 A bear rad, 99 934 Market Ma acton-based manpulaton (perceved value) nformaton-based manpulaton Allen & Gale(99) Prce Manpulaton Trader-based Manpulaton Acton-based Manpulaton
, SK postve spllover (t) e π ) ) ( ( t e π Φ
Coaltonal Game N, r S r (S) N = {, } r ( N ) = S = r ( N ) = a N r( { } ) = 0 } r ({ ) = r ({ } ) =0 S x e ( S, x) = r( S) x s e( S, x) S x excess Γ Γ x < r(s) s S x e( S, x) r U x ( x, x ) = r x [, ] x + x r x x x
N ( r ) x φ vh q r x E[ U x ( x)] = q + ( q) r vh φ e Φ( π ( t)) FS Fw r > r r > r r ( r + r ) F S θ Θ = { θ I, θu, θ N } θ v µ ( vθ ) θ = θ n µ ( v θ ) µ (0,) = I I µ ( v 0θ ) = 0 = I
µ ( v θ ) = µ ( v = 0θ ) µ (0,) = U U U Pr[ v = θ ] = v~ U µ ( θ = v) (0,) θ N ( µ I µ U ) v ~ Pr[ v = θ N ] v < v µ µ v~ I U θ P(v) P H µ ( vθ) P L ( µ ) PH p( v) P L P H P(v) = µ P H + ( µ ) PL θ Step: ) π (, Dssmulaton Strategy buy sell y = at y = bt sell buy y = [ y, y ] π (, ) :
π (, ) = t β t= B a π ( N I, I( b, K ) I( a, K )) A β N I I( a, K ) B A I( b, K ) K K B t Step: t (Partal dsclosure) nformaton dsspaton z z ~ [0, δ ] n A I ( a, K ) = E[ π ( x, p ) v] k = k k k z p λ + z = + t pt t xt p 0 p * = p0 + λx E( v x) p * p + λ x = + z π arg max E[ x( v p )] x U π ) Pr( p > v)( E( p v)) = ( p v) f ( p) dp ( t = t+ t+ Pr( p > v) v p t+ Step3: P * * p { Θ, ψ } * p t n
U ( π ) = Pr( p t * > v) E( p * v) = * p v ( p * v) f ( p) dp Step4: t n Full dsclosure bt + > p I( π ) = Pr( p < b + )( E( b + t t t t p )) = t b t + p ( b p) f ( p) dp 3 Event study methodology. 50 50 3 A 000 00. ARAbnormal Return CARCumulatve Abnormal Return, AAT AAT 3 GARCH AAT
ARAbnormal Return CARCumulatve Abnormal Return. CAPM Market Model E R ) ( R = a + β R + u m u ~ (0, σ ) R Rm α α β β ε 0 0-60-40 α β [-60-] R R α β [-00]4 [-00] E R ) R E( R ) = α + β R m AR AR = R E ( R ) [-00] Average Abnormal Return AAR ( AAR = N AR N = N CARCumulatve Abnormal Return Average Cumulatve Abnormal Return, CAR CAR = N N t= 0 = AR t = t= 0 AAR t t =-0-0 90 u ~ N ( 0, σ ) GARCH
u = σ V, V σ = ω + α u ~ N ( 0, σ ) + β σ TO = c + d TO + V 3 m TO TO m V AT = TO c d TOm AT > 0 AT < 0 N AAT AAT = ATt / N t= CAR AAT. 4 4 4 CAR σ AAT CAR AAT σ σ σ
3 CAR AAT σ
4 CAR AAT σ
5 CAR AAT σ
6 50 CAR AAT CAR CAR CAR 0 4 CAR 6 CAR 4 CAR 50 CAR 4 CAR 4 CAR 3 AAT σ
AAT 5 AAT AAT 8 6 0.076%, 0.97% 0.744% AAT AAT 50 AAT.753%.076%.357%.093% AAT.433% 0.97% 0.83% 0.738% 3 AAT.04% 0.744% 0.434% 0.43% σ 4 σ 3-6 3 8 AAT σ 4. U U R R
C C P U P U Check P C Y Y Y 3 T T T Y Y3 T T3 Y Y 3 P C U > R C U R C > U C > U R C U > R R U C > U R U R C < U R C C C C 3 > U R 0 U > R U R C > U R C,
PU P U U R Y PC C C U R Y P C U R Y U 3 R Y P P U I = Y P + ( P) Y3 = T3Y ( T + ) T3Y P U I = Y P + ( P ) Y = Y U I > U I U I > U I T3 P < ( T + ) T 3 P P = f ( T, T3 ) T T P 3 U I > U I T T P 3 0 U I > U I T T 3 P 0 3 U I > U I P 3 T P < U C R C C P C C C P = h( U R C, C ) 0 U R <
U C R C C U < R P P T T 3 7 T 3 T 7... NASDAQ 999 Unsys SDR SMARTS
.. 5% (SEC) 0%.. dsgorgament materalty.. 999..
[] ALLEN F, DOUGLAS G. Stock Prce Manpulaton [J]. The Revew of Fnancal Studes, 99, 5: 503-59. [] ADMATI A, PFLEIDERER P. A Monopolstc Market for Informaton [J]. Journal of Economc Theory, 986, 39: 400-438. [3] CHATTERJEAR A, JARROW R. Market Manpulaton, Prce Bubbles, and a Model of the U.S. Treasury Securtes Aucton Market [J]. Journal of Fnancal and Quanttatve Analyss, 998, 33: 5589. [4] LEVINE C, SMITH M. Informaton Dssembaton by Insders n Equlbum [J]. Journal of Markets, 003, 6: 347. [5] CHAKRABORTY A, YILMAZ B. Nested Informaton and Manpulaton n Fnancal Markets [R]. Workng paper, Wharton School Rodey, Whte Center for Fnancal Reseach, 000. [6] CHATTERJEAR, JARROW. Market Manpulaton, Prce Bubbles, and a Model of the U.S. Treasury Securtes Aucton Market [J]. Journal of Fnancal and Quanttatve Analyss, 998, 33: 5589. [7]., [M]. 00. [8]., [M]. 00. [9],., [R]. 00. [0],. [A].., 00. Informaton Manpulaton, Share Prce Shock and Regulaton Control Zhang Zongxn J Le (. Post-doctorate Workstaton of Fnance Insttute, Fudan Unversty, Shangha 00433;. Insttute of Fnance, Northeast Securtes Co., Ltd.) Abstract: At an emergng securtes market, the essental reason of nsder nformaton manpulaton s mmature securtes market whch results n nformaton rent. In order to seek for nformaton rent, lsted company and nsttutonal nvestor collude to collaborate a strategy rent coalton by nformaton domnant and fund superorty, so as to manpulate share prce and obtan the exceedng earnngs. Durng the process of nformaton manpulaton, there exsts a dynamc game between nformaton manpulator and unformed trader. The superor nformaton nsttutonal nvestor manpulate nsder nformaton, break the asset prce equlbrum and form the new prce equlbrum. The nformaton manpulaton process s also the shock of share prce. Emprcal study manfests that severe nformaton manpulaton exsts unversally n Chna stock market. For ths reason, strengthenng securtes regulaton and nformaton manpulaton beng controlled
become the essental condton of contnuous development to Chna stock market. Key words: Informaton manpulaton; Informaton rent; Share prce shock; Regulaton Control 003-07-08 97-97-