بررسی تأثیر دستکاری قیمت بر کارایی بازار در بورس اوراق بهادر تهران

بررسی تأثیر دستکاری قیمت بر کارایی بازار در بورس اوراق بهادر تهران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 سازمان بورس و اوراق بهادار، کارشناسی ارشد مدیریت مالی

2 پردیس فارابی دانشگاه تهران- دکتری اقتصاد

3 دانشگاه علامه طباطبایی- دکترای مدیریت مالی

4 دانشجوی دکتری پردیس البرز

چکیده

در این پژوهش به بررسی تأثیر دستکاری قیمت به روش ورود سفارش اغواکننده بر کارایی بازار پرداخته شده است. برای این منظور با انتخاب نمونه‌ای شامل 288 شرکت که شامل 144 مورد دستکاری قیمت رخ داده به روش ورود سفارش اغواکننده در دورۀ سه ماهه منتهی به زمستان 94 که به ایجاد 14,516 مشاهده منجر گردید پرداخته شد. با جمعآوری داده‌های مورد نیاز برای این شرکت‌ها در این دوره به بررسی تأثیر متغیرهای دستکاری قیمت و نوسان بازدهی بر متغیرهای شکاف عرضه و تقاضا و حجم معاملات به عنوان متغیرهای اندازه‌گیرنده کارایی بازار پرداخته می‌شود. از آنجائیکه مدل مورد بررسی دارای دو بعد مقطع و زمان می‌باشد از رگرسیون دادههای پنل جهت بررسی فرضیات پژوهش استفاده شدنتایج نشان می‌دهد که پیش از وقوع دستکاری قیمت، شکاف عرضه و تقاضا افزایش و با وقوع دستکاری قیمت این شکاف کاهش می‌یابد. همچنین سهام با حجم معاملات بالا برای دستکاری قیمت مستعد می‌باشند. این نتایج بیانگر این است که بازار سهام به دستکاری قیمت واکنش نشان داده و معیارهای کارایی خود را بهبود بخشیده است. حضور سرمایه‌گذاران جستجوکننده اطلاعات که به پیروی از دارندگان اطلاعات نهانی دستکاری‌کننده قیمت، به معامله می‌پردازند در ایجاد چنین شرایطی موثر بوده است.

کلیدواژه‌ها


عنوان مقاله [English]

Determinimg manipulation effect on market efficiency in Tehran stock exchange

نویسندگان [English]

  • reihaneh rabiee 1
  • mohammad nadiri 2
  • moslem peymani 3
  • ali jaberi zadeh 4
4 alborz campus of the tehran university student
چکیده [English]

This study is empirically examining effect of spoofing order-entering manipulation on the efficiency of Tehran stock exchange. For this reason a sample set with 288 listed stocks in Tehran stock exchange, which include 144 cases of market manipulation for 3-month period from January 2015 to march 2015, that creates 14,516 observations is selected. By collecting needed data in order to detect the effect of manipulation and volatility on bid, ask spread and volume as market efficiency criteria. For model analysis, Panel data regression is used. Results showed that bid ask spread and proportional bid ask spread increase before manipulation and decrease after that. Stocks with high volume are prone to market manipulation. This means that Tehran stock exchange is capable of efficiently responding to the presence of manipulators and promote efficiency measures. Presence of information seeking investors who are trading by following manipulators with insider information is effective in providing this situation.

کلیدواژه‌ها [English]

  • Market Manipulation
  • Information Asymmetry
  • Market Efficiency
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