上海市场股票收盘价格的窗饰效应研究被引量：7

Closing Stock Prices and Their Window Show Effect:Empirical Study Based on Stocks Traded in Shanghai

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摘要一般认为证券市场中的窗饰效应是指在一个交易日结束前,特别是月末的交易日结束前股票的价格显著上升的现象。

作者刘凤元孙培源陈启欢

机构地区上海交通大学管理学院

出处《证券市场导报》北大核心 2003年第10期65-69,共5页 Securities Market Herald

关键词上海证券市场股票收盘价格沪市窗饰效应证券交易

参考文献6

1Aitken M and C ComertonForde(2002),Opening thd Curtain on Window Dressing, The Handbook of Word Stock,Derivative and Commodity Exchanges,Mondo Visione.
2Cherian,J.A.and R.A.Jarrow(1995),"Market Manipulation",Chapter 20 of Handbook of Operations Research and Management Science,vol.9,Finance,North-Holland.
3Franklin Allen and Douglas Gale(1992),Stock-Price Manipulatin,Stock-Price Manipulation,The Review of Financial Studies,Vol.5,No.3.,pp.503-529.
4Madhavan.A(2000),"Market Microstructure:A Survey",Jorunal of Financial Markets,2000,205-208.
5我国《证券法》第184条规定,操纵证券交易价格,或者制造证券交易的虚假价格或者证券交易量,获取不正当利益或者转嫁风险的,没收违法所得,并处以违法所得一倍以上五倍以下的罚款.构成犯罪的,依法追究刑事责任.
6有的研究认为操纵行为可分为三类:基于行动的操纵、基于交易的操纵、基于信息的操纵.这里我们采用了Felixson和Pelli(1999)的观点,将基于行动的操纵和基于信息的操纵合为一类,因为这些操纵都没有在交易过程中对价格直接进行控制.

1Aitken, Comerton--Forde, 2002, "Opening the curtain on window dressing" [J], The Compaq Handbook of World Stock.
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证券市场导报

2003年第10期

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