Research on Identifying Stock Manipulation using GARCH Model

被引：0
|
作者：
Pan, Wen-Tsao [1 ]
Qian, Wen-Bin [1 ]
He, Ying [1 ]
Wang, Zhi-Xiu [1 ]
Liu, Wei [1 ]
机构：
[1] Hunan Univ Sci & Engn, Sch Econ & Management, Yongzhou, Peoples R China
来源：
INTERNATIONAL JOURNAL OF ADVANCED COMPUTER SCIENCE AND APPLICATIONS | 2023年 / 14卷 / 03期
关键词：
Stock prices; market; manipulation; GARCH model; stock exchange;
D O I：
10.14569/IJACSA.2023.01403109
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
Continuous rising of economy and investors' demand for funds give a window to easier market manipulation which includes abusing of one's power to raise or lower the price of securities, colluding to affect the price or volume of securities transactions at a pre-agreed time, price and method. In the study, the article aimed to create a sound investment environment, detect abnormal behaviors in stocks, and avoid risks of intentional manipulation. This study is to identify market manipulation and summarize the accuracy of GARCH model analysis with the help of fluctuation forecast trend chart and construction of GARCH model which calculates the sum of the GARCH-a parameter and the GARCH-beta parameter of turnover rate, logarithmic return rate, and the trading volume fluctuation. Through the study of this paper, it is found that the stock market manipulation has the following characteristics: the participants are complex and diverse, the manipulation is opaque and has serious consequences, and the stock market manipulation involves a wide range of aspects.
引用
收藏
页码：956 / 967
页数：12
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