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异常交易事件近年来时有发生,这极大损害了证券市场的基本功能及其市场效率。为防范股指期货异常交易的发生并消除其带来的消极影响,文章首先从驱动因素角度对国内外异常交易经典案例进行了剖析。据此认为,股指期货市场异常交易主要是指由于不可抗力、技术故障、重大差错或市场操纵等致使股指期货市场无法正常交易、发生交易错误或价格大幅波动等现象,进而严重影响市场基本功能的交易行为;其异常交易行为主要是在市场联动化、产品复杂化、交易多样化、高频交易增加、结算结构更新和电子交易快速发展的背景下产生的,并多由交易系统本身的脆弱性、新技术下的高频交易频发、交易人员的疏忽或犯错、交易机制的固有缺陷和证券账户和托管体系的不健全等原因引起的,且具有突发性、重大性和负面性的特点。为此,根据“数值标准”和“人工认定”异常交易的国际准则,文章从价格信息、交易量信息以及投资者交易行为角度给出了异常交易的识别指标:价格、期货及其标的物(或现货)价差、交易量、持仓量的异常变化,异常的自买自卖和对敲行为,以及信息披露前的巨额交易、关联账户的异常报价等行为。鉴于此,文章系统给出了以价格限制、技术修正和交易者要求为主要手段的前端控制办法,以及以临时停牌、临时停市、暂缓交收、取消交易、自行补救、强化交易规则为主要手段的事后处置机制,从而为期货交易所科学防范和处置异常交易提供了较可靠的参考依据。
Abnormal transaction events have occurred from time to time in recent years, which has greatly damaged the basic functions of securities markets and their market efficiency. In order to prevent the occurrence of abnormal transactions of stock index futures and eliminate their negative effects, the article first analyzes the classic cases of abnormal transactions at home and abroad from the perspective of driving factors. Therefore, the abnormal transactions in the stock index futures market mainly refer to the transactions that caused the normal trading of the stock index futures market due to force majeure, technical faults, major mistakes or market manipulation, the occurrence of trading mistakes or sharp price fluctuations, which in turn seriously affect the basic functions of the market The abnormal transactions are mainly generated in the context of market linkage, product complication, transaction diversification, increase of high-frequency transaction, settlement structure update and the rapid development of electronic transactions, and are mostly caused by the fragility of the trading system itself, The frequent occurrence of high-frequency trading under new technology, the negligence or mistakes of traders, the inherent defects of the trading mechanism, the unsoundness of the securities accounts and the custody system, and the characteristics of suddenness, materiality and negativity. For this reason, according to the international standards of “Numeric Standard” and “Artificial Recognition”, this paper gives the identification of unusual transactions from the perspective of price information, trading volume information and investors’ trading behavior: price, futures and The underlying (or spot) spreads, trading volume, abnormal changes in positions, abnormal self-buying and selling and knocking behavior, as well as huge amounts of information before the disclosure of the transaction, the abnormal price associated accounts and other acts. In view of this, the article gives a front-end control method with price restriction, technical correction and trader requirements as the main means, as well as temporary suspension of trading, temporary suspension of market, suspension of settlement, cancellation of trading, remedial action and strengthening of trading rules Means of post-disposal mechanism, so as to provide a more reliable reference for Futures Exchange to prevent and deal with abnormal transactions scientifically.