新《证券法》、程序化交易和市场操纵规制

New Securities Law,Program Trading and the Regulation of Market Manipulation

近年来,程序化交易发展迅速、市场份额占比不断增加,它在欧美国家发展已经十分成熟,在我国出现较晚,尚处于发展初期。由于我国证券市场特殊的制度禀赋,现阶段我国程序化交易仍以低频为主,多采取套利策略和趋势型策略。结合新《证券法》对市场操纵行为的禁止性规定,基于对低频程序化交易操纵市场典型行为的分析,从防范滥用程序化交易操纵市场的角度,可以从以下方面优化低频程序化交易的监管。首先,明确和扩大监管范围,将利用程序化交易操纵证券市场的行为明确纳入监管范围,并规定量化认定指标。其次,加强程序化交易的日常监测,重点关注市场关键性参与者大额交易者的交易行为,并建立审查与追踪市场交易行为的实时审计追踪系统。最后,明确程序化交易主体的责任并加大对违法行为的惩处力度。

Program trading has developed very fast and its market share has been growing exponentially recently.It has reached a relatively mature stage in Europe and the United States,but still young in China.Due to the special institutional endowment of China’s securities market,the program trading is still in the form of low frequency,and takes the form of arbitrage and momentum strategies.Based on of the analysis of the typical models of low-frequency program trading market manipulation in the setting of the new Securities Law,the regulatory proposal to prevent the abuse of program trading are as follows.Firstly,clarifying and expanding the scope of regulatory supervision to all program trading,and setting quantitative threshold indictors.Secondly,strengthening the daily monitoring of program trading,and focusing on the trading behavior of large traders,and establishing a real-time audit system to review and track market trading behavior.Finally,setting the regulatory obligations and increasing the penalties for infringements.