Regulating Market Manipulation through an Understanding of Price Creation

現行管制操縱市場行為的規範,往往忽視已快速累積、探討證券市場中價格如何形成的文獻,以致於這些規範往往具有權宜性,並依據模糊且困難的判斷標準,如市場價格的人為性或交易員的主觀意圖。某些操縱市場的交易型態,如配對及沖洗買賣,自1930年代起的嚴格審查後,已可被清楚辨明,但這個清單卻從未更新。即便只是透過對現存財務經濟及市場微結構相關研究文獻的鳥瞰,立法與監理者即能了解交易時間、市場結構,以及證券的流動性等因素,皆促使並給予以交易為主的操縱市場行為很大誘因,以及每個具體情況中所適用的操縱技巧。一些機構交易員所使用的科技能力突飛猛進,不僅使得更新操縱市場的規範有相當急迫性,這些擁有強大設備的交易員與處理零售交易的交易員立足點差異的鴻溝,將很快顛覆我們原本對於證券市場的理解。立法與監理者應認真看待操縱市場這一問題,並發展出對於這些很可能是出於操縱意圖的操縱行為的相關規範。

Current rules on market manipulation ignore the existing and rapidly growing body of scholarship on how securities prices are formed in markets. These rules are primarily reactive, and depend on vague and difficult measures such as the artificiality" of a resulting market price or the trader's intention. Some trades, like matched and wash sales, have indeed been singled out since the 1930's for special scrutiny, but this list has never been updated. Through even a cursory review of existing literature in financial economics and market microstructure, lawmakers and regulators would be able to know the times, the market conditions, and the types of securities that facilitate and give greatest incentive for trade-based market manipulation, as well as the manipulative techniques best adapted to each, specific situation. Rapid advance in the technological prowess of some institutional traders has lent urgency to the task of updating rules on market manipulation. The playing field between high-powered and retail traders has become so uneven that soon our original understanding of securities markets will be eclipsed. Lawmakers and regulators should take market manipulation seriously and develop presumptions triggered by behavior that is shown to display a very high probability of manipulative intent. This article presents the parameters along which such presumptions can be formulated.