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Data:2009-12-12 2:34
Introduction
In recent years, China's stock market there were many problems, such as stock price manipulation, insider trading, listed company's financial fraud, etc. These problems have seriously damaged the interests of small and medium investors, has tarnished the image of China's securities market. China Securities Regulatory Commission in 2001 identified as "regulatory year", since 2002, has also repeatedly stressed the importance of first-line supervision, precisely in order to stop this "bad guys" effect of the spread of the effective protection of the rights and interests of small and medium investors. In China the stock market, the banker is a familiar term, the media continue to refer to ordinary investors are accustomed to, but few people to explore the precise meaning of the dealer. From a legal point of view, the dealer is no doubt stock manipulator, PLAY against the "Securities Act" will be a random stock is also known as Zhuang Gu improperly. This article has no intention of making the definition given, only from trading activities of investors to identify the dealer, visit the dealer's transactions on the stock price impact.
In China the stock market, individual investors accounted for 99.5% of the number of accounts, institutional investors accounted for 0.5% of actors for individual investors. However, institutional investors have a larger amount of money to influence the market trend. In addition, the outstanding shares of China's stock market accounted for only 1 / 3, with an average circulation of market value is very low, which has a financial advantage for institutional investors, has facilitated the manipulation of stock prices. Apart from the funding advantage, institutional investors also have information superiority, and even the use of insider information to manipulate stock prices.
Our empirical findings are as follows:
A banker's behavior
(1) acts of self-purchased from selling
We visited the 19 stocks in 1999-2000 involved in the transaction from the purchase from the selling shareholders, the number of transactions and trading of the number of shares, statistical results shown in Table 1 and Table 2.
From Table 1 run, only occur once since purchased from selling nearly 50% of the transaction took place 2-3 times close to 20%, occurred four times or more close to 30%. It is undeniable that the majority of transactions are dealer behavior.
From Table 2 point of view, part of the selling transaction from the number of shares purchased from small number of transactions in 100 shares of less than about 10%; part of the self-sell a lot of shares from the selling transaction, the transaction volume of more than 10,000 shares of about 25% of the . From self-purchased from selling such non-rational transactions can be found traces of the dealer.
July 1, 1999 began implementing the "Securities Act" since the purchase from the selling shareholders, there should be some convergence behavior, Figure 1 shows each month in the 1999-2000 self-purchased from the number sold.
We see from Figure 1, "Securities Law" after the implementation of self-purchased from selling behavior and did not immediately converge in 2000, about 6 is reached a record 4650 times, trading 21.62 million shares. In July 2000 after selling the phenomenon of self-purchased from a drastic cut in the number of transactions mostly in the 100 times less than the number of shares trading mostly in the 1 million below.
We calculated for each stock involved in acts of self-purchased from the shareholders of selling volume and the number of shares traded, the average number of shareholders is 29, the median was 25, and the maximum is 138, minimum is 10; the number of shares traded the average was 59.7 million shares, with a median is 38.9 million shares, and the maximum is 362.5 million shares, the minimum value is 4.0 million shares.
(2) repeated transactions
Since the two is easy to buy from sell transactions exposed, making greater use of multi-account transactions to manipulate stock prices, Table 3 shows the number of transactions between accounts at two or more times the statistical results.
From Table 3 show that, in 423,701 times repeated transactions, nearly 70% of the repeated 2 times, repeated 3-4 times, 20%, repeated five times or more accounted for 10%. There is no correlation between the two shareholders of transactions that may occur repeatedly, but the amount will not be too much. Repeated between the two shareholders, the more the number of transactions, then the greater the correlation. We calculated repeatedly for each stock transaction of more than six times the number of shareholders, the average was 1046, the median is 990, and the maximum is 2128, the minimum value is 234. The disclosure of the case from a point of view, the dealer used to manipulate a stock by a shareholder accounts about hundreds, if the number of accounts is too low relative concentration of the stock, is likely to expose; if the number of accounts is operating too many problems, the need for little. We six times for the critical value, more than six times the account may be making.
(3) days of irrational trading
We calculated each day to take stock low and sell high to buy the number of accounts, the average was 2495, the median is 1977, and the maximum is 6148, the minimum value is 269, can be seen that a low sell high to buy the irrational trading accounts abound. However, such transactions are not necessarily the dealer, for example: an investor to sell the stock price continued to rise and found the resulting psychological regret, so reverse operation at a higher price to buy the stock. But the dealer in order to manipulate stock prices tend to deliberately adopt such an irrational trading, therefore, responsible for such acts may be making.
(4) Re-host behavior
Repeatedly to switch hosting is a common means of making one. Each stock we calculate the number of accounts managed switch, the average was 4499, the median is 3177, and the maximum is 13135, the minimum value is 1173.
(5), a banker to determine
Based on the above study, we summed up the characteristics of the dealer: Self-purchased from sale transactions between accounts repeated six times or more days of irrational trading, managed to switch more than twice the cumulative trading volume before 1000 and the maximum amount of pre-1000 positions . We have two or more of these characteristics as a dealer, the dealer is the average number of 920, the median is 959, maximum is 1285, the minimum value is 563. In general, the dealer used to manipulate a stock by the number of accounts of several hundred of these results in line with common sense.
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Second, the dealer's behavior on the impact of stock price
(1) abnormal returns of the test
We calculated the 19 stocks making positions to reach the maximum of 150 trading days before and after the abnormal returns, on average, before a group of 150 samples, the mean is 0.003277, the standard deviation is 0.008615, the mean test statistic for 0 is 4.66 , the mean was significantly positive; to
After the 150 samples as a group, the mean is 0.000260, the standard deviation is 0.008954, the mean test statistic for 0 is 0.35, not significant non-zero. Abnormal returns on the assumption that to be confirmed.
(2) The cumulative abnormal returns and time relationship between the
Figure 2 shows the 19 stocks, the average cumulative abnormal returns. Clearly, the maximum positions before the individual stocks yield more than the market portfolio rate of return; the maximum positions after a period of time (approximately 20 trading days), the yield on individual stocks are still more than the market portfolio return rate; the subsequent rate of return stocks slightly lower than the market portfolio rate of return, but the gap small. Bookmakers have enough time to book gains into real gains.
(3) the average net buying volume with time
We calculated the 19 stocks in the average net buying volume is given by Figure 3. Positions from the largest volume of 150 trading days before the start, with an average maximum amount of 26% of net buying, the last 70 trading days the average net buying increased by 22%. Reach the maximum positions, the positions continued to decrease to about 100 trading days in the average net buying is zero. In the ensuing 50 trading days, then dropped 6%. Thus, PLAY often takes a long time, a short while a few months or as long as 1-2 years. As the dealer in the lighten up the process, individual stocks and the market rate of return the portfolio rate of return equivalent to, and did not raise stock prices plummeted, making access to abnormal returns.
(4) The dealer to buy from sell and the time since the relationship between the
We calculated the self-purchased from the dealer sell the proportion of the total volume, is given by Figure 4. From Figure 4 point of view, self-purchased from the dealer sell the proportion of the total volume from 14% to 44%, self-purchased from a dealer selling an important part of manipulating stock prices.
(5) Makers and ordinary investors, the transaction gains and losses
In the PLAY process, the dealer will only sell its shares to ordinary investors, and from the hands of ordinary investors to buy the stock, assuming that the dealer sell the stock, the average price is, the dealer to buy the stock, the average price is, we have defined as Makers of the bid-ask spread costs. If the bid-ask spread cost is greater than 0, then the banker's approach is to buy low and sell high strategy; if the bid-ask spread cost is less than 0, then the dealer takes the strategy of buy low and sell high.
We calculated the 19 stocks making up the largest positions before and after the 150 trading days of the bid-ask spread cost of bookmakers, their average is given by Figure 5. See Figure 5, most trading days, the dealer deal with ordinary investors adopt a strategy to buy low and sell high. 301 trading days, the average bid-ask spread cost is 0.0023, the mean test statistic for 0 is 16.78, significant non-zero.
Samples and research methods
1, the sample database used in this study is 19 years of closing the stock records of 1999-2000, including the following variables: the stock code, the buyer of shareholders code, the vendor shareholders code, transaction amount, transaction price, transaction ID and transaction date. Based on the above data, can be studied since purchased from the investors sell the phenomenon of repeated transactions between accounts phenomenon, the phenomenon of irrational trading day and repeated the phenomenon of transfer trusteeship, combined with the amount of total volume and maximum positions to determine the dealer.
Second, research methods
1, bookmakers behavior as well as the recognition method
Makers in the secondary stock market speculation of a bid-ask spread of the motivation is to make this point, and there is no difference between small and medium investors. However, the means and methods adopted by different, small and medium investors a limited amount of money, they could not influence stock prices are mostly based on individual stock fundamentals and technical knowledge of the media recommended by a variety of grapevine stock trading. The dealer is usually well aware of the manipulation of stocks, with the information and financial advantage. Is usually controlled by the market value of stocks in circulation the lower positions after a certain level of stock prices can be freely pulled and pressure. As the makers and ordinary investors, asymmetric information, ordinary investors, it is difficult to grasp the intention of making, "Dancing with the village," the risk is significant.
Makers and market regulators also exists between the information asymmetry. Makers to know which account is your account, the exact positions and positions the cost of ordinary investors do not know the cost and distribution of positions. Market regulators were aware of the positions of all investors, the cost of volume and position, but do not know which account for the maker of all. This article from an investor's trading activity to start to explore the method of identifying the dealer.
By making behavior analysis, we will be making the behavioral characteristics summarized as six aspects: 1, since the purchase from the selling, that is, investors will own shares in order to sell itself to a price, the performance of the buyer in the database the code is equal to the shareholders The seller of shareholders code, this transaction is a non-transfer of stock ownership transactions, securities law expressly prohibited acts, such behavior has resulted in making the stock positions remain unchanged, but paid a certain amount of transaction costs, resulting in trading activity illusion; 2, repeated transactions, which the dealer several times to sell its shares to an account to another account, such transactions do not transfer title to the shares belong to the transaction; 3 days of irrational trading, that is, in one day at a higher the price to buy the stock at a lower price to sell the stock, this transaction does not in itself illegal, but it is one of the dealer commonly used methods; 4, repeated transfer trusteeship; 5, large positions; 6, large volume.
According to investor trading behavior, we have classified as investors, bankers and ordinary investors. This distinction has a certain amount of scientific, error rate is not too high, but not fully consistent with the real bookmakers. To be sure that we have identified most of the banker is a real dealer, their behavior and results in line with the real dealer.
2, bookmakers effects on stock prices behavior
Making the process of manipulating stock prices are as follows: 1, in a large number of low-priced Jiancang; 2, lift stock prices, and Zhen Cang, set out to make some profit in order to raise the cost of ordinary investors positions; 3 Kongpan after the fast prop up share prices ; 4, with stock prices fluctuating at high levels or continue to rise, continue to lighten up; 5, throw a large number of stocks, profit out.
Typically, the dealer's positions before the highest point, after a period of time, the share price to reach its highest point during bookmakers and very lucrative. Reached the highest point in the positions before, although the price is higher than the cost of the dealer's position, but the banker's earnings is just the book proceeds, rather than the actual earnings, the bookmakers still need to constantly inject new funds. In addition, in order to attract investors to follow suit, the dealer also carried out a large number of non-transfer of ownership transactions and days of irrational trading, these transactions need to pay transaction costs and bid-ask spread costs. In the lighten up process, the share price may fall, if the slow down, bookmakers have time to book gains into tangible benefits; if the stock price fell too fast, the dealer may suffer. Ideally, the model is: Makers of the positions reached the maximum before the stocks yield more than the market portfolio rate of return; the banker's position reached the maximum after the yield on individual stocks and the market portfolio rate of return without differences, so there is plenty of time for making the book gains into real gains.
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In order to verify the above model, we will be divided into transactions between investors, purchased from the dealer from selling, general transactions between investors, bankers and ordinary transactions between investors, and finally divided into making a deal to sell conventional investment buy and banker who buy, sell two types of ordinary investors. Based on the above classification, calculated for each stock each trading day in 1999-2000 making the net purchase amount and the amount of net buying volume, and to determine the maximum positions of the moment, the moment of interception before and after 150 trading days of data, including : Stock returns, market portfolio rate of return, making the amount of net buying volume, the dealer to buy from sell since the ratio of total transactions and so on.
We Stock returns and market portfolio returns as the difference between the abnormal returns, and calculate each trading day the stock 301 abnormal returns, namely, the first stocks in the first trading day abnormal returns. Pairs of the first 19 trading days the stock abnormal returns on average to be taken, that is. Assumptions and are independent and identically distributed, testing, and.
In the above calculation, based on the work carried out as follows: 1, calculate cumulative abnormal returns, and to inspect and relations; 2, using individual stocks sold into the net cumulative amount of computing from the maximum positions 150 trading days before the time of the beginning, the average Net sold into traffic, and to inspect and relations; 3, calculation self-purchased from the dealer sell the average ratio of total transactions, and to inspect and relationships.
@ Conclusion
In this paper, the study of investor trading behavior and found that six of the behavioral characteristics of the dealer and, based on investor behavior to determine whether investors are making. The main conclusions are as follows: 1, in the banker's position reached the maximum before the stocks yield more than the market portfolio rate of return; 2, in the banker's position reached the maximum after the yield on individual stocks and the market portfolio return was no difference; 3, bookmakers have ample time to book gains into tangible benefits; 4, self-purchased from the dealer selling is an important component of manipulating stock prices; 5 days with ordinary investors in the transaction, making a low - sell high buy strategy. In short, the dealer can be manipulated stock prices for abnormal returns, but the market surveillance can be identified by analyzing the transaction banker, and then investigate and deal with the dealer.
Table 1: Buy from the selling shareholders from the number of transactions
The number of transactions Cumulative Percentage Frequency Percentage Cumulative Frequency
1 262 47.29 262 47.29
2-3107 19.31 369 66.61
4-758 10.47 427 77.08
8-1546 7.70 473 85.38
16-3132 5.88 505 91.16
32-6319 3.42 524 94.58
64-12716 2.89 540 97.47
128 - 14 2.53 554 100.00
Table 2: shareholders since the number of shares to buy from sell transactions
Trading Shares
Average maximum number of transactions the median minimum
1,485,213,232,011,000
2-375655000030 3126
4-7 19333 2511763683500
8-1532075 2959293088006
16-31 46,585,336,803 282,113,416
32-63 1,918,265,333,420,410,820
64-127 7339 5,301,721,540,641,349
128 - 3,685,691,342,485 34,969,117,746
Table 3: repeated transactions between accounts
The number of transactions Cumulative Percentage Frequency Percentage Cumulative Frequency
2,295,899 69.84 295,899 69.84
3-484299 19.89 380,198 89.73
5-827129 6.41 407,327 96.14
9-169939 2.34 417,266 98.48
17-323871 0.91 421,137 99.39
33-641632 0.39 422,769 99.78
65-128644 0.15 423,413 99.93
129 - 288 0.07 423,701 100.00
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