The Impact on Market for Manipulation of Security Prices

[[abstract]]近年來我國股票市場之上市（櫃）公司發生股票操縱案件重大事件頻傳，儘管各國證交所設有監視機制及法律規範，但股票操縱案的發生仍不絕於耳。本文以台灣證券市場之股票操縱實際判例進行實證分析，主要目的為：以法院已起訴之股票操縱樣本，驗證股票操縱行為對市場運作績效之影響，由實證分析觀察股票操縱行為特徵及其所造成市場品質的影響。 研究結果發現股票操縱行為會使股價產生異常報酬，交易量亦會異常增加，但市場流動性卻反而降低，並且會造成股價異常波動，而市場效率亦會受到傷害；此等影響市場運行的品質會延續至操縱結束後一段時間。此外，被操縱公司通常具有規模較小、週轉率較高、股價波動率較大且公司獲利性較差的特徵，並於操縱當時會造成股價報酬有連續性的現象，且價量關係會變得更為明顯。以做多操縱方式者其影響市場品質較固定股價方式為之嚴重；而有罪或無罪之判決結果與股票操縱之價量特徵及其對市場績效的影響並未有相關性。[[abstract]]The purposes of this study are to examine the impact on market for the behavior of stock price manipulation How the illegal behaviors are affect the market liquidity volatility and efficiency The results show that the behavior of stock price manipulation increases returns volume and volatility but destroy the market liquidity and efficiency Those harmful effects still remain in post-manipulation period In addition the characteristics of manipulated firm are smaller size higher turnover more volatility and less earning Manipulated stocks display short-term price continuation as well as long-term price reversal during the manipulation period Dividing the manipulated stocks into pump-and-dump and stabilization sub-samples the results indicate that market quality of pump-and-dump sub-sample is worse then stabilization sub-sample Nonetheless dividing the manipulated stocks into guilty and non-guilty sub-samples the results show that there is no apparent difference for stock manipulation to damage market qualit