Artificial Market Control on the Security Markets

证券市场的人为市场控制

• 批准号: 14530110
• 负责人: SUZUKI Yoshihisa
• 金额: $ 2.11万
• 依托单位: HIROSHIMA UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2002
• 资助国家: 日本
• 起止时间: 2002 至 2003
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-14530110/
• 关键词: Short Selling Constraint; Market Watching Power; SEC; Volatility; Information Flow Hypothesis; Structural Change

Market Condition and Environment where artificial Market Control on security trades is repeatedly occurred are examined. The enforcement activities on security markets by Securities and Exchange Surveillance Commission are critically analyzed. We pose three problems to be solved on the organization. Firstly it is organized mainly to monitor the markets, which is just the one of functions of market regulators such as the Securities and Exchange Commission of the United State : Secondly the Commission is too small to survey the world second largest securities markets. Thirdly the extent of which the power of the commission is not necessarily clear and the stakeholders have different view on itThe other aspect of the research is the empirical analysis of the relation between the information which could affect the stock prices and the mechanism of pricing. We construct the database which contains panel data on 966 listed stock of the Tokyo Stock Exchange and their trading volumes. We first find that it is necessary to model the way in which the information inflow to the market. It is found that once the price volatility increases, the persistent volatility cannot be attributed to the information since some characteristics of the price process also cause similar persistency. Only the limited number of extreme events which are believed to cause the persistent volatility is actually observed and their role is statistically not significant. We also find that semi-parametric modeling is important to derive a consistent conclusion about the information inflow hypothesis

分析了证券市场人为操纵现象反复发生的市场条件和环境。对美国证券交易监督委员会的证券市场执法活动进行了批判性分析。我们在组织上提出了三个需要解决的问题。首先，它的组织主要是为了监测市场，这只是市场监管机构，如美国证券交易委员会的职能之一;其次，委员会规模太小，无法调查世界第二大证券市场。第三，委托权的行使程度不明确，利益相关者对委托权的认识也不一致。第四，对影响股价的信息与定价机制之间的关系进行了实证分析。我们构建了包含东京证券交易所966只上市股票及其交易量的面板数据的数据库。我们首先发现，有必要对信息流入市场的方式进行建模。研究发现，一旦价格波动增加，持续波动不能归因于信息，因为价格过程的某些特征也会导致类似的持续性。实际上只观察到被认为导致持续波动的有限数量的极端事件，它们的作用在统计上并不显著。我们还发现，半参数建模是重要的，以得出一致的结论，有关的信息流入假说

项目成果

西村 尚剛: "わが国証券市場の法務執行の現状について"広島大学経済論叢. 第26巻・第3号. 107-112 (2003)

Naotake Nishimura：“论日本证券市场的法律执行现状”广岛大学经济丛书，第 26 卷，第 3 期，107-112（2003 年）。

Suzuki, Yoshihisa: "The Relation Between Persistent Volatility and Trading Volume with a Variable Trend"The Hiroshima Economic Review. Vol.26 No.1・2. 53-68 (2002)

铃木吉久：“持续波动与变化趋势下的交易量之间的关系”《广岛经济评论》第 26 卷第 1・2 期（2002 年）。

西村 尚剛: "わが国証券市場の法務執行の現状について"広島大学 経済論叢. 第26巻・第3号. 107-112 (2003)

Naotake Nishimura：“论日本证券市场的法律执行现状”广岛大学经济丛书，第 26 卷，第 3 期，107-112（2003 年）。

Nishimura, Masatake: "Rethinking of the Strengthened Short Selling Regulation"The Hiroshima Economic Review. Vol.26 No.1・2. 41-52 (2002)

西村正武：“强化卖空监管的再思考”《广岛经济评论》第 26 卷第 1・2 期（2002 年）。

Nishimura, Masatake: "Enforcement of the Securities Markets in Japan"The Hiroshima Economic Review. Vol.26 No.3. 107-112 (2003)

西村正武：“日本证券市场的执行”《广岛经济评论》。