Artificial Market Control on the Security Markets

考察了证券市场人为管制屡屡发生的市场条件和环境。对证券交易监督委员会在证券市场上的执法活动进行了严格的分析。我们对该组织提出了三个需要解决的问题。首先，它主要是监管市场，这只是美国证券交易委员会等市场监管机构的职能之一；其次，该委员会规模太小，无法调查世界第二大证券市场。第三，佣金的权力在多大程度上不明确，利益相关者对此有不同的看法。研究的另一个方面是对可能影响股票价格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，一旦价格波动加剧，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。只有被认为导致持续波动的有限数量的极端事件才被实际观察到，它们的作用在统计上并不显著。我们还发现，半参数模型对于得出关于信息流入假说的一致结论很重要

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