美國拉高倒貨市場操縱手法與偵測

Pump-and-Dump Market Manipulation Techniques and Detection in the United States

石亦瑄(YI-SYUAN SHI)

指導教授 ： 朱珊瑩

中原大學/商學院/國際經營與貿易研究所/碩士(2021年)

https://doi.org/10.6840/cycu202100159

摘要

拉高倒貨股價操縱破壞市場效率，也使得投資人因為受到其操縱手法的影響而遭致相當大的損失。為補足股價操縱實證文獻相對理論研究較少的問題，以及幫助投資者避免受拉高倒貨股價操縱所害，本文研究美國證券管理委員會於2012年至2018年裁定為拉高倒貨操縱的公司案例，並從案例解析和股價操縱偵測兩個方向提供解決問題的資訊。第一，本文以Putniņš (2020) 提出的拉高倒貨操縱類型架構為主，輔以來自美國證券管理委員所對應的實證案例，了解操縱之手法與其對市場之影響。第二，本文應用Phillips, Wu, and Yu (2011) 提出的右尾單根遞迴檢定以及延續葉錦徽、林怡諄、朱珊瑩 (2015) 以泡沫生成與破裂作為股價操縱之起始與結束之概念，來提供投資人一個偵測股價操縱的方法。
實證案例呈現資訊型操縱手法被使用在100％ 的拉高倒貨案例中，而其中有21.7％ 的案例又同時被交易型手法所操縱。另外，實證案例大多數屬於流動性較低或資訊揭露程度較低的公司。操縱者操縱實證案例之股價期間多為半年以上而不到一年，且其從拉高倒貨操縱中得到的非法獲利之金額高達數百萬美元，這對市場效率造成損害。
我們發現右尾單根遞迴檢定能使投資人僅需透過收盤價資料即可精準判斷股價被拉高至倒貨的區間。檢定結果也發現此區間與法院在曠日廢時後所判決之操縱期間存在交集。因此本文證實右尾單根遞迴檢定是一個簡單、省時且有效偵測股價操縱之方法。
本文研究美國證券管理委員會所裁定的實證案例以了解拉高倒貨操縱，並使用右尾單根遞迴檢定以偵測股價操縱。此研究成果可以提供重要的提醒資訊給投資人以免為操縱所害，因此進而改善市場效率。

關鍵字

股價市場操縱手法 ； 拉高倒貨操縱 ； 右尾單根遞迴檢定

並列摘要

Pump-and-Dump Market Manipulation destroys market efficiency, and its influence also causes investors to suffer considerable losses. To address the gap in the empirical literature on stock price manipulation, and to help investors avoid being hurt by high stock price manipulation. This study discussed the company cases analysis are charged of United States Securities and Exchange Commission (SEC) from 2012 to 2018 and provides information to solve detect stock price manipulation problems.
First, to understand manipulation and its impact on the market, this study is mainly based on the structure of the type of manipulation for increasing dumping proposed by Putniņš (2020), supplemented by empirical cases from the SEC. Second, this study applies the recursive right-tailed unit root tests proposed by Phillips, Wu, and Yu (2011) and the continuation of Ye, Lin, and Zhu (2015) with bubble generation and bursting as the starting point for stock price manipulation. The concept of ending, to provide investors with a way to detect stock price manipulation.
Empirical cases reveal that information-based manipulation is used in 100% of the cases of pump and dump, and trade-based manipulation are used in 21.7% of these cases. In addition, most empirical cases are of companies with low liquidity or a low degree of information disclosure. Stock prices were manipulated for more than half a year to less than a year. The amount of illegal profits obtained from the manipulation of the high dumping operation amounted to millions of dollars, which damaged market efficiency.
We found that recursive right-tailed unit root tests can enable investors to accurately determine the range of stock prices that have been pulled up and dumping just by closing price information. Also, we found an intersection between this interval and the court's manipulation period. Therefore, this study confirms that such tests are a simple, time-saving, and effective method to detect stock price manipulation.
This study examines the empirical cases determined by the SEC to understand the pull-up operations, and uses recursive right-tailed unit root tests to detect stock price manipulation. The research results can provide important reminder information to investors to avoid harm by manipulation, and thus further improve market efficiency.

並列關鍵字

stock market manipulation techniques ； pump and dump ； recursive right-tailed unit root test

參考文獻

參考文獻

Aggarwal, R. K., Wu, G. (2006). Stock market manipulations. The Journal of Business, 79(4), 1915-1953.

Allen, F., Gale, D. (1992). Stock-price manipulation. The Review of Financial Studies, 5(3), 503-529.

Blanchard, O. J. (1979). Speculative bubbles, crashes and rational expectations. Economics letters, 3(4), 387-389.

Comerton-Forde, C., Putniņš, T. J. (2011). Measuring closing price manipulation. Journal of Financial Intermediation, 20(2), 135-158.