订单型操纵的新发展及监管

本文考察了一类新的操纵类型——订单型操纵及其监管。研究发现,对于订单型操纵而言,订单提交频率较高且撤单速度非常快,以避免成交风险;申报买入笔数很多且提交订单额度巨大,但成交笔数极少;买入申报撤单量占该股票当日市场买入总申报比例极高。进一步,操纵者选择的股票往往具有低股价和小市值的特征;操纵行为对价格和流动性仅有短暂的影响。比较发现,中国和美国订单型操纵在制度上存在差异。本文研究对于如何在中国更好地加强这一类新型操纵的监管有着借鉴意义。

The new development and supervision of order type manipulation

This paper examines a new type of market manipulation,order type manipulation and its supervision.We found that for the order type manipulation,the order submission frequency is high and the cancellation is very fast as well,therefore the transaction risk is avoided.Usually many orders with huge value are submitted,but the actual transaction amount is very little and the cancelled orders have an extremely high proportion of the total order submission.Furthermore,the manipulators often choose stocks with low...