证券市场导报Issue(4)：50-61,12.
量化投资、股票市场操纵与监管对策
摘要
Abstract
In recent years,the scale of quantitative investment in China's A-share market has grown rapidly,urgently requiring clarification of its profound impacts on market microstructure and market manipulation.Using non-financial A-share listed companies on the Shanghai and Shenzhen stock exchanges as samples and employing high-frequency tick-by-tick order and transaction data,this study finds that stocks heavily held by quantitative funds exhibit a higher probability of market manipulation.This effect predominantly manifests during bear market phases characterized by lower investor risk appetite and information transmission efficiency,as well as in small-cap stocks with insufficient research coverage that are susceptible to market sentiment.The mechanisms are threefold:First,quantitative investment excels at capturing short-term,high-frequency non-fundamental signals and executing rapid trades,crowding out slower fundamental traders and impeding the incorporation of firm-specific information into stock prices.Second,certain quantitative investments employ identical strategies,leading to homogeneous interpretations of price signals and convergent trading behaviors,thereby reducing price sensitivity to firm-specific information.Third,quantitative investment relies heavily on unstructured factors such as sentiment data and trading volume data to generate trading decisions;when quantitative signals diverge from traditional fundamental signals,it exacerbates heterogeneous beliefs among investors to some extent.The increased noise in the information environment and intensified investor heterogeneous beliefs create potential space for stock market manipulation.Further analysis demonstrates that the registration-based IPO reform and relevant institutional arrangements regarding information disclosure and market manipulation regulation have mitigated market information asymmetry,increased manipulation costs,and reduced the probability of market manipulation for stocks heavily held by quantitative funds.This study recommends continuously optimizing regulatory systems such as quantitative algorithm registration and black-box examination systems,constraining short-term arbitrage behaviors of high-frequency quantitative funds,and fully leveraging advanced technologies to innovate the regulatory model for stock market manipulation.关键词
量化投资/股票市场操纵/投资者异质信念/注册制改革/监管对策Key words
quantitative investment/stock market manipulation/investor heterogeneous beliefs/registration-based reform/regulatory countermeasures分类
管理科学引用本文复制引用
常心宇,李志辉,李梦雨,魏斌..量化投资、股票市场操纵与监管对策[J].证券市场导报,2026,(4):50-61,12.基金项目
国家社科基金一般项目"全面注册制下市场操纵诱发股市系统性风险的机理与对策研究"(项目编号:23BJY253)、教育部人文社会科学研究青年基金项目"股票市场异常波动背景下程序化交易操纵诱发系统性风险的机理及监管"(项目编号:24YJC790254)、国家社会科学基金一般项目"全面注册制对市场操纵的影响"(项目编号:24BJY083) （项目编号:23BJY253）
