各國期交所匯率及利率類商品價格穩定機制：臺灣可吸取的經驗

Abstract

本論文係針對近年電子交易及程式交易之交易型態所造成的短時間巨幅價格崩跌或上漲所採取的價格穩定機制，近期交易形式已與過去有相當大的差異，也帶來一些市場異常狀況現象，為避免程式錯誤下單所引起的重大價格變異，故研究建置價格穩定機制以防範盤中價格異常波動風險。本文將分析整理各國交易所在匯率及利率期貨選擇權所擁有的價格穩定機制，包括價格盤中斷路機制、瞬間價格穩定機制以及動態退單機制，並詳列各國在處理各式價格波動時所採取的價格穩定方法。另外針對臺灣期貨交易所內的匯率利率類商品與國外交易所的商品規格做比較，並建議臺灣期貨交易所的利率期貨建置盤中價格穩定機制，而匯率商品則建議建置瞬間價格穩定機制。

This thesis aims to develop price stabilizing mechanism adopted in response to the recent huge price variation caused by patterns of electronic transactions and program trading. The recent transaction pattern which brings market anomalies is quite different from the past. In order to avoid major price variation caused by wrong orders, this research will establish a price stabilization mechanism to prevent the risk of abnormal price fluctuations in the intraday. Precisely, this thesis will analyze the price stability mechanism of the exchange rate future, option and interest rate futures in various countries' exchanges, including Circuit Breaker Mechanism, Volatility Interrupt Stability Mechanism, and Dynamic Price Banding Mechanism, and list detail how various exchanges deal with various types of price fluctuations. In addition, the exchange rate and interest rate commodities in the Taiwan Futures Exchange will be compared with those in the foreign future exchange, and a theoretical price model will also be developed. Applied with foreign exchanges’ mechanism and the established theoretical price model, this thesis recommends Circuit Breaker used on interest rate future and Dynamic Price Banding used on exchange rate commodities in Taiwan Futures Exchange.