以GSADF 方法偵測及警示股價操縱

Abstract

股價操縱對金融市場的穩定影響重大，為各國政府一直希望管制 的重要議題。本研究採用客觀的單根檢定方法來檢驗臺灣股票是否有 股價操縱的行為，並與2016 年法院判決確定之股價操縱行為相對照， 希望能為未來檢驗股價行為提供有用的參考作法。偵測股票操縱的方 法為利用右尾遞迴式單根檢定來判斷其股價是否有脫離隨機漫步的趨 勢。不同於先前學者所提出使用的右尾遞迴式單根檢定，本文採取了 新方法：右尾雙邊遞迴式單根檢定來加強其檢定力。其實證結果顯示 右尾雙邊遞迴式單根檢定的檢定效果與準確性均優於右尾遞迴式單根 檢定，因而能提供一個更準確有效的檢測股價操縱方法。

To maintain the stability of the financial market, regulation of stock price manipulation is important for all countries. In this paper, we use the unit root test to examine the stock price manipulation and compare with the judgement of the court in 2016 in Taiwan. We expect this method would provide a useful reference in examining the stock behavior in the future. We use the method of right-sided recursive unit root test to verify whether the stock prices are off the random walk path or not. Moreover, we apply the new method, right-sided double recursive unit root test, to enhance the effectiveness and accuracy of detecting the action of stock price manipulation. We found that the rightsided double recursive unit root test is more effective and accurate than the right-sided recursive unit root test. For this result, we conclude that rightsided double recursive unit root test is a better method to detect stock price manipulation.