Artificial Market Control on the Security Markets

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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