熔断机制研究外文文献翻译最新译文

熔断机制研究外文文献翻译最新译文
熔断机制研究外文文献翻译最新译文

文献信息

标题:The research on the behind of fusing mechanism, an analysis

作者:Jimmy K

期刊:Academy of Management Proceedings , 2016, 1(2): 102-121.

原文

The research on the behind of fusing mechanism, an analysis

Jimmy K.

Abstract

Circuit breakers originated in the United States, from the point of its development history, various forms, but are artificially setting price limits and deal. The Chicago mercantile exchange (CME) in 1982 for the S&P 500 futures contracts with daily trading prices of 3% price limits, but this rule has been abolished in 1983, until the 1987 crash, makes people reconsider the price limit system. Circuit breakers, refers to a contract is reached before we set a fuse price, contract price in a period of time only within this price range trading mechanism, set up the "fuse" mechanism of the purpose is to control the risk.

Keywords: Circuit breakers; Securities; Research

1 The origin

Originated in the United States, the so-called circuit breakers, refers to a contract is reached before we set a fuse price, contract price in a period of time only within this price range trading mechanism. Circuit breakers is reflected in the stock market applications, in stock trading, when price fluctuation reach the required level, fair then stop for a period of time. Circuit breakers originating in the United States, the United States of the Chicago mercantile exchange in 1982 for the S&P 500 futures contracts have been trading price for a price limit of 3%.But this provision was abolished in 1983, until the 1987 crash, makes people reconsider the price limit system. Relevant data shows, on October 19, 1987, the New York stock market broke out one of the largest in the history of a crash, the Dow Jones industrial average fell 508.32 points, in one day or 22.6%, since there is no circuit breakers and price limit, many millionaires overnight to the poor, the day also is referred to as the "black Monday"

American finance.

In "black Monday" after the one year anniversary on October 19, 1988, the commodity futures trading commission and the Securities and Exchange Commission has approved the New York stock exchange and the Chicago mercantile exchange circuit breakers. According to the relevant provisions of the United States, when the S&P index fell by 7% in a short time, the United States all securities market transaction will be suspended for 15 minutes. From the perspective of the development history of circuit breakers, although a variety of forms, but they are set to price limits and deal. This mechanism even in originated in the United States stock market also has been controversial, there is also.

Taken together, fuse system abroad is "melt and break" and "fusion and constantly" two kinds of forms. Melt and break is when prices hit fusing point, in the following a period of time to stop;" And constantly" is when prices hit fusing point, in the following a period of time continue to trade, but the price limit within striking point. The establishment of circuit breakers, from the positive point of view, can provide a "shock absorber" for market transactions. The essence of which is at the time of sudden changes in prices, to give investors a sober time, prevent the irrational response. At the same time, also can give regulators respond to a certain amount of time. Except for the fusing of the market mechanism, in June 2010, the U.S. stocks after the flash crash, the SEC in the market based on circuit breakers, introduced a stocks fusing mechanism, in order to prevent the stock market sharply after landslides and may run out of market liquidity. In May 2012, the us securities and exchange commission and approved by price limits (upper and lower limit price volatility) instead of before the implementation of the individual stocks fusing mechanism, more focused to prevent stocks from a specific price range interval, in order to reduce slump in boom brought about by the market volatility and volatility caused by the following influence.

2 Specific implementation of each country

Relevant data shows, according to incomplete statistics, there are many countries in the world market set up the system of fuse. In addition to the United States, France,

Japan, Finland, Australia, India, Singapore, Malaysia and other countries have a limit of triggering fuse. Of course, due to the characteristics of the securities market, the investment varieties, the use of circuit breakers also have their own characteristics. To trigger the fusing restrictions, for example, in different countries and markets, there is a huge difference. The larger, such as the Philippines, 40% of the shares before the price limit for 1;Smaller, such as Egypt, this number is only 5%.Circuit breaker mainly used in the U.S. "melt and break" form. In the standard & poor's 500 index, for example, when the S&P is the day before closing down 7%, the national securities market transaction will be suspended for 15 minutes; When standard & poor's index is the day before closing down 20%, the stop on the day of trading.

Japan, South Korea and the European mainstream which is widely used in stock index futures "level of fusing" mechanism, the so-called "melting is broken" mechanism, but because of the high threshold Settings, states rarely touch the striking point so far. In France, according to form different stock trading, make a different price and suspended from trading in time. Full-time each stock the biggest gain for yesterday 21.25% of closing quotation price, the biggest drop of 18.75%.If the price more than 10% of the day, the suspended from trading for 15 minutes. Japan is in when futures prices more than the specific scope and standard price a fair price of a particular scope, futures trading will be suspended from trading. Suspended from trading for 15 minutes, if the suspension of trading in the morning before the close in 15 minutes, suspended from trading only in the morning before the close. When the Tokyo stock price index (the TOPIX) exceeds a specific price range, involves the arbitrage trading stock, purchase and sale are prohibited until prices recover to a specific price range. On May 23, 2013, the Nikkei 225 index, the Nikkei 225 index futures has triggered "circuit breakers" suspended from trading. In South Korea, if the stock index (KOSPI) than the previous day's closing share price dropped by 10% or more than 10%, and the fall lasted a minute, stock trading suspension of ten minutes, stock price limit of 15%.If most traded futures contract price deviation from the previous day's closing price of 5% or more than 5%, and the futures price deviated from its fair price 3% or more than 3%, and the price change for a minute, stop

trading futures contracts for five minutes. Fusing mechanisms implemented only once a day, in the afternoon 14: no longer after implementation. If the stock market appears suspended from trading case, stop trading futures contracts for 20 minutes.

Singapore, when the potential market price is higher than the reference price (the deal) at least five minutes before the end of the price of 10%, the trigger the "cooling-off period" of 5 minutes. In the period, only allowed within + / - 10% trading securities, trading in five minutes back to normal, and recalculate the new reference price.(the rule applies to accounts for about 80% SGX transactions of securities, including some index).

3 The effect of fusing mechanism

3.1 Alert and to inhibit the action of the short-term capital speculation behavior

Stock index futures market is fusing mechanism, market traders in the market will be cautious, especially for short speculation behavior, on the one hand, the closer the fusing point, traders more and more cautious, or even cancel the transaction behavior, because the market once the trigger fusing it may not be able to timely is to realize the flow of money and circuit breakers is not punishment, but there are similar to the punishment of "negative reinforcement effect. On the other hand, when the trigger fusing point, the market into a frozen period, actually reduce the time of every trading day, thus reducing the short-term speculation, curb excessive speculation.

3.2 The risk early warning role of stock index futures market

When the stock index futures to fusing threshold, triggering circuit breakers, suspended from trading or limit price after a period of time. Is, in fact, the market traders and other stakeholders risk warning and make them alert, take timely preventive measures and means, effectively prevent the risk.

3.3 Promote market calm, for risk control and dissolve the risk security mechanism

The trigger circuit breakers when the market can have a period of time in fusing the following transaction prices will be suspended for a period of time. During the cooling period (national set general for 15 to 30 minutes), traders can calm thinking, to digest the market information, trading strategy adjustment, rationally determine the trading price, to avoid excessive market speculation, increase the risk of a market.

When extreme market at the same time, the market in a short period of time large price swings, traders may create a bigger loss, instant, in turn, produce a chain reaction, eventually make the risk accumulation release, to cause significant damage to the market, after the introduction of circuit breakers, in a period, not only can the release of the risk buffer, more market main body, especially the market regulator to control measures and dissolve the risk of favorable conditions.

3.4 Help to eliminate the old prices led to the decrease of the stock index futures market liquidity

When the abnormal fluctuation of stock index futures one-sided, a lot of order block may delay the stock index futures market to normal display, resulting in a so-called old price, which at one point traders see the price is, in fact, the price of a moment, if press this certainly cannot clinch a deal price declaration. So, when a lot of not clinch a deal the order continuous into the trading system may cause more serious congestion, leading to trade data showed more lag. In the period of fuse, the trigger circuit breakers can eliminate the old price, so as to ensure the flow of trade.

4 summarizes

How to establish effective risk management system for the whole market is the subject of stock index futures market to be solved urgently. Futures trading in the application practice proved fusing mechanism of circuit breakers can rise to curb excessive speculation, early warning and risk and the cost of buffer role. Circuit breakers are timely launch of stock index futures market with capital market development demand, reasonable and scientific. Based on the experience of the circuit breakers, and on the basis of the effect of the past practice of circuit breakers, circuit breakers in stock index futures market should striking point set, setting the melting time, across the market or not, and other supporting measures aspects into consideration, the most into a form that met the need of the overall capital market circuit breakers.

译文

熔断机制的背后,一个分析研究

Jimmy K

摘要

熔断机制起源于美国,从其发展历史来看,形式多样,但都是以人为地设置价格限制和中断交易为特征的。美国的芝加哥商业交易所(CME)曾在1982年对标普500指数期货合约实行过日交易价格为3%的价格限制,但这一规定在1983就被废除,直到1987年出现了股灾,才使人们重新考虑实施价格限制制度。熔断机制,是指对某一合约在达到涨跌停板之前,设置一个熔断价格,使合约买卖报价在一段时间内只能在这一价格范围内交易的机制,设置“熔断”机制的目的是为了控制交易风险。

关键词:熔断机制;证券;研究

1 起源

发端于美国,所谓熔断机制,是指对某一合约在达到涨跌停板之前,设置一个熔断价格,使合约买卖报价在一段时间内只能在这一价格范围内交易的机制。熔断机制在股市上的应用则体现为,在股票交易中,当价格波幅触及所规定的水平时,交易会随之停止一段时间。熔断机制最早起源于美国,美国的芝加哥商业交易所曾在1982 年对标普500 指数期货合约实行过日交易价格为3% 的价格限制。但这一规定在1983 被废除,直到1987 年出现了股灾,才使人们重新考虑实施价格限制制度。相关资料显示,1987 年10 月19 日,纽约股票市场爆发了史上最大的一次崩盘事件,道琼斯工业指数一天之内重挫508.32 点,跌幅达22.6%,由于没有熔断机制和涨跌幅限制,许多百万富翁一夜之间沦为贫民,这一天也被美国金融界称为“黑色星期一”。

在“黑色星期一”发生一周年后的1988 年10月19 日,美国商品期货交易委员会与证券交易委员会批准了纽约股票交易所和芝加哥商业交易所的熔断机制。根据美国的相关规定,当标普指数在短时间内下跌幅度达到7% 时,美国所有证券市场交易均将暂停15 分钟。从熔断机制的发展历史来看,尽管形式多样,但都是以人为设置价格限制和中断交易为特征。这一机制即使在发端地美国股市也一直存在争议,反对的声音也不绝于耳。

综合来看,国外熔断制度有“熔而断”和“熔而不断”两种表现形式。“熔而断”是当价格触及熔断点后,在随后的一段时间内停止交易;“熔而不断”是当价格触及熔断点后,在随后的一段时间内继续交易,但报价限制在熔断点之内。

熔断机制的设立,从积极角度来看,可为市场交易提供一个“减震器”。其实质就是在价格发生突然变化的时候,给投资者一个冷静的时段,防止作出不理性的反应。同时,也能给监管者采取应对措施争取一定的时间。除针对大盘的熔断机制以外,2010 年 6 月,在美股闪电暴跌后,美国证交会在大盘熔断机制基础上,推出了个股熔断机制,以防止此后股市急遽滑坡而可能耗尽市场的流动性。2012 年5 月,美国证交会又批准了以涨跌限制(限制价格波动上下限)机制替代之前实施的个股熔断机制,更着力于阻止个股偏离一个特定的价格幅度区间,以降低暴涨暴跌所带来的市场波动以及波动所引起的后续影响。

2 各国的具体实施情况

相关资料显示,根据不完全统计,目前已有世界多个国家的交易市场设立了熔断制度。除美国之外,法国、日本、芬兰、澳大利亚、印度、新加坡、马来西亚等国都有触发熔断的限制。当然,由于各证券市场、各投资品种的特征不同,其所使用的熔断机制也各有特点。以触发熔断的限制为例,在不同国家和市场,有着巨大差异。幅度较大的如菲律宾,涨跌幅限制为前一日股价的40% ;较小的则如埃及,这一数字仅为5%。美国采用的熔断机制主要为“熔而断”形式。以标准普尔500 指数为例,当标准普尔指数较前一天收盘点位下跌7% 时,全美证券市场交易将暂停15 分钟;当标准普尔指数较前一天收盘点位下跌20% 时,当天交易停止。

日本、韩国和欧洲主流股指期货普遍使用“一级熔断”机制,即所谓“熔即断”的机制,不过由于门槛设置较高,至今各国很少触及熔断点。在法国,根据股票交易形态不同,制定有不同的涨跌幅与暂停交易时间。全日每只股票最大涨幅为前日收盘价的21.25%,最大跌幅为18.75%。如果价格波动超过前日的10%,则暂停交易15 分钟。日本则在当期货价格超过标准价格的特定范围和公平价格的特定范围,期货交易将会暂停交易。暂停交易的时间为15 分钟。如果暂停交易发生在上午收盘前的15 分钟内,暂停交易只在上午收盘前执行。当东京股票价格指数(TOPIX)超过特定价格区间时,禁止买卖涉及套利交易的股票,直到价格恢复到特定价格区间内。2013 年 5 月23日,日经225 指数大跌,日经225 指数期货就曾触发“熔断机制”而暂停交易。在韩国,若股票综合指数(KOSPI)较前一天收盘价下跌了10% 或10% 以上,(完整译文请到百度文库)并且这

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