中国股指期货异常交易处置机制探析

The Treatment Mechanism for Abnormal Trading in Chinese Stock Index Futures Market

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。

The abnormal trading events often come up in recent years,which largely damage the fundamental function and market efficiency in securities markets. In order to prevent abnormal trades and their effects in Chinese stock index futures market,this paper firstly analyzes the classic cases at home and abroad from the factor-drived viewpoint. Thus,the abnormal trading of stock index futures is defined as the phenomenon of no normal trading,transaction error or huge fluctuation of price in stock index futures market,which affects the basic function of market trading seriously,due to the force majeure,technical failure,major errors or market manipulation. The behavior of abnormal trading of stock index futures market is coming up mainly based on the background of co-movement of markets,complication of products,diversification of trades,increasing of high-frequency trading,updating of settlement structure and rapid development of electronic trading,mainly focuses on the reasons of fragility of trading system itself,emergence of highfrequency trading under the new technology,negligence or mistakes of traders,intrinsic defects of trading mechanism,and incomplete securities account and managed system, and has characteristics of emergency, materiality and negativity. According to the international standards of ＂numerical standard＂and ＂labor standard＂,this paper gives the abnormal changes of price,difference of futures and underlying（ or spot）,trading volume and open interest,the abnormal behaviors of wash sale and bucketing,the huge trading before disclosure of information,the abnormal quotation of affiliate accounts,and so on,from the aspects of price information,information of trading volume,and behavior of traders. Then,the paper improves the front control measures based on price limit,technical correction and trader requirements,and the ex-post treatment mechanisms based on sidecar,temporarily closed,suspended delivery,cancel transaction,self-remedy and strengthen trading rules. These studies provide a reliable reference for the exchanges in preventing and handing abnormal trading.