右尾單根遞迴法檢測拉高倒貨型股價操縱: 美國股市實證研究;Using SADF Test to detect Pump and Dump Manipulation: The Empirical Research of U.S Stock Market

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题名:	右尾單根遞迴法檢測拉高倒貨型股價操縱: 美國股市實證研究;Using SADF Test to detect Pump and Dump Manipulation: The Empirical Research of U.S Stock Market
作者:	俞佑龍;Yu, You-Long
贡献者:	財務金融學系
关键词:	右尾單根遞迴檢定;股價操縱;泡沫;拉高倒貨型;SADF;Stock Price Manipulation;Bubble;Pump and Dump
日期:	2018-07-16
上传时间:	2018-08-31 14:26:31 (UTC+8)
出版者:	國立中央大學
摘要:	本研究主要偵測由美國證券管理委員會及法院於2005年到2016年間所裁定違反1933年證券法以及1934年證交法的股價操縱案例，從中挑出最為證管會所注意之拉高倒貨型股價操縱案例，並且使用 Phillips , Wu and Yu (2011) 所提出之右尾單根遞迴檢定檢測股價是否有違反隨機漫步的趨勢，藉採做為判定操縱區間依據。本研究也依循葉錦徽，林怡諄，朱珊瑩 (2015) 以股價操縱的起始點以及結束點，定義出不同股價操縱期間與操縱類型和法院判定期間比較，檢視右尾單根遞迴法之偵測能力。且嘗試以更客觀事後角度，估算操縱者最大可能獲利，做為裁量賠償投資人損失及量刑之依據，保護無辜受操縱股票連累投資人權益。;This study mainly detects stock price manipulation cases that were sentenced by the U.S Securities and Exchange Commission and the court between 2005 and 2016 in violation of the Securities Act of 1933 and the Securities Exchange Act of 1934. we pick out the case of the stock price manipulation case that is most noticed by the SEC, and use the SADF test proposed by Phillips, Wu and Yu (2011) to detect whether the stock price violates the trend of random walk, and use it as the judgment of manipulation interval. This study also follows Yeh, Lin, Chu (2015) to define the starting point and ending point of the stock price manipulation, and to compare the detection ability of the SADF test compared with the different manipulation type and the court judgment period. Also try to estimate the maximum profitable profit of the manipulator from a more objective post perspective, as a basis for discretion compensation investors′ losses and sentencing, and to protect innocent manipulated stocks and investors′ interests.
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