The fuse mechanism originated in America. Judging from its development history, its forms are various, but they are all characterized by artificially setting price limits and interrupting transactions. The Chicago Mercantile Exchange (CME) once imposed a 3% price limit on the daily trading price of the Standard & Poor's 500 index futures contract at 1982, but this regulation was abolished at 1983, and it was not until the stock market crash at 1987 that people reconsidered the price limit system.
On the first anniversary of June 1988, 10, 19, and June 1987, the Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) approved the fuse mechanisms of new york Stock Exchange (NYSE) and Chicago Mercantile Exchange (CME).
The fuse mechanism is one of the institutional innovations made by CICC on the basis of learning from foreign experience and the actual situation of China's capital market. At present, there is no fuse mechanism in domestic stock trading and commodity futures trading. At the beginning of the innovation and development of financial futures, China Financial Futures Exchange took the lead in introducing the fuse system as an important risk management system, with the aim of better controlling risks. The establishment of fuse mechanism provides a "shock absorber" for market transactions. Its essence is to set up a transitional gate before the opening of the price limit system, to give the market a certain cooling-off period, to remind investors of risks in advance, and to win time and opportunities for relevant parties to take relevant risk control measures and measures.
At present, there are generally two forms of fuse mechanisms used in foreign exchanges, namely, "melting off" and "melting on"; The former means that when the price touches the fuse point, the transaction will be suspended for a period of time, and the latter means that after the price touches the fuse point, the transaction declaration will continue to match the transaction within the fuse price range for a period of time. At present, the fuse mechanism of "fuse and break" is widely used in the world.
China's stock index futures will soon introduce a fuse system, which is based on the 10% price limit of individual stocks in the stock spot market, in order to curb irrational excessive fluctuations in the stock index futures market. According to the current design, when the daily fluctuation of stock index futures reaches 6%, it is the first fuse point of the Shanghai and Shenzhen 300 index futures trading, and it will "continuously fuse" within this range. When the "melting point" is reached, 10 minutes can still be traded, but the index quotation cannot exceed 6%. After 10 minutes, the fluctuation range is enlarged to 10%, corresponding to the daily limit of individual stocks in the spot market 10%.
By investigating the daily fluctuation percentage data of Shanghai and Shenzhen 300 Index from June 4, 2005 to July 36, 2006, it is found that the maximum daily fluctuation percentage is 8. 18%, only once, and only three times when it exceeds 5%. The minimum daily fluctuation percentage is -5.63%, and it only appears twice when it exceeds -5%; The standard deviation of daily fluctuation percentage is 1.39%. There are 376 data in a * * *, and the probability of rising to the fuse point is only 0.798%; The probability of falling to the fuse point is only 0.532%; The fusing range is 4.32 times of the standard deviation of the daily fluctuation percentage. It can be seen that most of the time the index fluctuation is far below the specified range of the fuse point, and the 6% fuse mechanism can cover most of the trading time.