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新股询价发行中如果没有对配售权的限制,承销商和关联机构投资者有可能利用自由配售权和信息不对称进行市场操纵.建模研究了承销商和关联投资者如何在IPO累计投标询价过程中进行策略的分配并在二级市场中实施基于交易的操纵,采用逆推法求出操纵的混同均衡解,分析了混同均衡操纵存在的条件并考察了各个因素对操纵存在的影响,发现当新股未来可能的价值差异足够大时不存在操纵,而当价值差异较小时可能存在操纵,且操纵存在的概率与未来价值为高的概率、关联投资者长期持股成本、动量交易者数量以及承销商从关联投资者处获取的提成比例正相关,与操纵者进入市场的先验概率、流动性交易者申购量对发行价的敏感度、市场价格对需求量的敏感度、承销商从发行公司处获得的佣金比例以及发行规模负相关.
Underwriters and affiliates may use market manipulation of free placement rights and asymmetric information if there are no restrictions on the rights to placements in the issuance of new shares Inquiry into how underwriters and affiliates may accumulate in the IPO In the process of price allocation, the strategy is assigned and the transaction-based manipulations are implemented in the secondary market. The manipulative hybrid equilibrium solution is obtained by the backstepping method. The conditions of the hybrid equilibrium manipulations are analyzed and the influences of various factors on the manipulations are investigated. It is found that there is no manipulation when the possible difference in future value of new shares is large enough, and there may be manipulations when the value difference is small, and the probability that the manipulations exist and future values are high, the long-term holding cost of the connected investors, the number of momentum traders As well as the positive proportion of the proportion of the underwriting commission obtained by the underwriters from the connected investors, the priori probability of the operator entering the market, the sensitivity of the liquidity trader to the issue price and the sensitivity of the market price to the demand, The percentage of commissions received by the issuing company and the size of the offering were negatively correlated.