The Influence Of Dealer's Behavior On Stock Price

The dealer usually knows the stocks he controls and has the advantage of information and capital. Usually the stock market capitalization is low, and the stock price can be raised and suppressed arbitrarily when the stock reaches a certain level. Because of the information asymmetry between the banker and the ordinary investor, it is difficult for ordinary investors to grasp the intention of the dealer.

(1) test of abnormal returns

We calculated the average value of the abnormal returns of the 19 trading stocks before and after the 150 positions. The previous 150 samples were one group, with a mean value of 0.003277, a standard deviation of 0.008615, a test statistic of 0, a mean value of 4.66, and a significant positive value.

The latter 150 samples are a set, with a mean value of 0.000260, a standard deviation of 0.008954, and a test statistic of 0 for mean value of 0.35. The hypothesis of abnormal return is confirmed.

(2) accumulative total car Relationship with time

Obviously, before reaching the maximum position, the yield of individual stocks exceeds the market portfolio returns. After reaching the maximum position, the yield of individual stocks still exceeds the market portfolio returns over a period of time (about 20 trading days), and the yield of subsequent stocks is slightly lower than that of market portfolio returns, but the difference is very small. The dealer has enough time to convert the book income into real income.

(3) the relationship between average net purchases and time.

We counted 19 stocks. Average net purchase volume 。 From the first 150 trading days of the largest holding position, the average maximum net purchase volume was 26%, of which the average net purchases in the last 70 trading days increased by 22%. After reaching the maximum position, the position continued to decline, and the average net purchase volume was about zero on the 100 trading day. In the next 50 trading days, it fell by another 6%. It can be seen that it often takes a long time to make a business, but a short period of several months and a long period of 1-2 years. In the process of reducing the warehouse, the yield of individual stocks is similar to that of the market portfolio and does not cause the stock price to collapse.

(4) the relationship between self purchase and time from the dealer.

We calculated the dealer. wash sale The proportion of total turnover. The proportion of dealers buying and selling themselves accounts for 14% to 44% of their total trading volume. Self purchase is an important part of price manipulation.

(5) profit and loss transactions between the banker and the ordinary investor

In the process of making a banker, the dealer sells shares to ordinary investors and buys stocks from ordinary investors. Assuming that the average price of the stock sold by the makers is that the average price of the stock bought by the banker is that we define it as the bid price difference cost of the dealer. If the bid price difference cost is greater than 0, the dealer adopts the strategy of low selling and high buying; if the cost of bid ask spread is less than 0, the dealer adopts the strategy of "buying low and selling high".

We calculated the price difference between the 19 traders in the 150 trading days before and after the maximum positions. In most trading days, the dealer adopts a strategy of low selling and high buying in dealing with ordinary investors. The average bid ask spread cost of the 301 trading days is 0.0023, and the mean test value of 0 is 16.78, which is significantly non-zero.

　　 Tips: samples and research methods

The database used in this study is a transaction record of 19 stocks over the past 1999-2000 years, including the following variables: stock code, buyer's shareholder code, seller's shareholder code, transaction volume, transaction price, transaction identifier and transaction date. Based on the above data, we can study investors' self purchase, self sale, repeated transactions between accounts, intra day irrational trading and repeated escrow.