经济政策不确定性对中国股票市场操纵的影响

姚晓光1; 刘精山2; 杜 阳3

经济政策不确定性对中国股票市场操纵的影响

引用本文：姚晓光1，刘精山2，杜阳3.经济政策不确定性对中国股票市场操纵的影响[J].财经理论与实践,2021,(5):57-65

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作者	单位
姚晓光1，刘精山2，杜阳3	（1. 南开大学经济学院，天津 300071；2.渤海证券股份有限公司博士后工作站天津 300047；3.中国银行研究院，北京 100818）

中文摘要:在对交易型股票市场操纵行为的识别和度量的基础上，研究了经济政策不确定性（EPU）如何影响股票市场操纵。结果表明，在我国A股市场上交易型市场操纵的操纵者在不确定性的经济政策环境中是不确定性的厌恶者，并且可能并不是拥有信息优势的投资者。此外，还计算了股票超额收益率对经济政策不确定性指数的敏感程度，发现经济政策不确定性与市场操纵之间的关系受到股票超额收益率对经济政策不确定性的敏感程度的影响。这些发现揭示了宏观经济政策环境对我国股票市场交易型操纵行为的影响途径。

中文关键词:经济政策不确定性信息不对称风险厌恶市场操纵

The Effect of Economic Policy Uncertainty on Stock Market Manipulation

Abstract:This paper studies the effect of economic policy uncertainty on the stock market manipulation based on recognition and measurement of trade-based stock market manipulation and we argue that EPU impact stock market manipulation negatively through two channels: information disadvantage and risk averse. Furthermore, we research the stock market manipulators' behavior using the information quality and firm size, and the result suggest that trade-based stock manipulators most are uncertainty averse who have no information advantages about EPU. Except that, this paper also computes the firm's exposure to EPU and find that the sensitive to EPU have impact on the relationship between EPU and stock manipulation. These findings show the channels how macroeconomic policy environment affects stock market manipulations happened in China's stock market.

keywords:economic policy uncertainty information asymmetry risk aversion market manipulation

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