Influencing Factors and Forecast of Stock Price Manipulation Based on Panel Data Logit Model
Jianfeng Zhang, Wenxiu Hu
Available Online December 2017.
- https://doi.org/10.2991/icemse-17.2017.25How to use a DOI?
- Stock price manipulation, Panel data, Logit model, Manipulation forecasting, Manipulation management
- Stock price manipulation forecasting is to carry out judgment before the stock price being manipulated, and to identify indicators with which the stocks are likely to be manipulated. Based on the 2015 A-share market stock trading manipulation case panel data issued by China Securities Regulatory Commission, and on the basis of two facts that financial advantage is needed for a manipulator to implement manipulation, and that other investors are permitted to copy trading, the panel data Logit model is built to forecast the stock price manipulation by identifying the main influencing factors of stock price manipulation with the stepwise regression method. The results show that when the average stock holding ratio and the price volatility of the stock in the previous quarter are higher, and the beta value is lower, then it is more likely for the stock price to be manipulated. The overall prediction accuracy of the out-of-sample and the in-sample is 68.18 % and 70.63 % respectively, so the effectiveness is relatively good.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jianfeng Zhang AU - Wenxiu Hu PY - 2017/12 DA - 2017/12 TI - Influencing Factors and Forecast of Stock Price Manipulation Based on Panel Data Logit Model BT - Proceedings of the 2017 2nd International Conference on Education, Management Science and Economics (ICEMSE 2017) PB - Atlantis Press SP - 103 EP - 106 SN - 2352-5428 UR - https://doi.org/10.2991/icemse-17.2017.25 DO - https://doi.org/10.2991/icemse-17.2017.25 ID - Zhang2017/12 ER -