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考虑到知情操纵者会利用正反馈交易者的交易特征进行交易操纵的现实情况,本文建立了基于信息与交易的中国股票市场操纵模型。通过分析不同交易者的交易策略,获得了各期的均衡价格与最大操纵收益。进而着重讨论了融资融券的保证金比例和交易者的理性程度等因素对最大操纵收益的影响,并运用数值模拟检验了理论结果。研究表明这些因素对最大操纵收益起到重要的调控作用,在此基础上给出政策建议以有效抑制市场操纵行为。
Considering the fact that informed operators will use the trading characteristics of positive feedback traders to manipulate transactions, this paper establishes a Chinese stock market manipulation model based on information and trading. By analyzing the trading strategies of different traders, the equilibrium price and the maximum operating profit of each period are obtained. Then the paper mainly discusses the influence of margin ratio of margin financing and margin trading and the degree of rational of traders on the maximum operating profit. The theoretical results are verified by numerical simulation. The research shows that these factors play an important role in regulating the maximum operating profit. Based on this, it gives policy suggestions to effectively restrain market manipulation.