Why doesn't the fuse mechanism work in China?
On February 4, 20 15, 15, under the unification of relevant departments, the CSRC officially issued relevant regulations on index fuse, which will be officially implemented on June 4, 20 1 year. On the evening of October 7th, 2065438+2006/kloc-0, Shanghai Stock Exchange, Shenzhen Stock Exchange and China Financial Futures Exchange issued notices, and with the consent of the CSRC, the implementation of the index fuse mechanism was suspended from June 54381October 8th.
The so-called fuse mechanism is actually a protection mechanism established by the Securities and Exchange Commission of the United States, that is, during the trading process, when the price fluctuation reaches a certain limited target, the trading will be suspended for a period of time, similar to blowing a fuse when an excessive current passes, so as to protect the electrical appliances from being damaged. There are three main reasons why the fuse mechanism does not work in China:
The "magnetic attraction effect" of 1 superimposed the price limit, which objectively affected the market liquidity. 1996 10% price limit system was implemented in February, which is essentially similar to the single-strand fuse mechanism. After the implementation of the index fuse mechanism, the A-share market actually formed a double-layer fuse mechanism between the stock index and individual stocks. Both mechanisms will bring "magnetic attraction effect", and the "magnetic attraction effect" of exponential fuse mechanism is greater.
The risk parameters of the fuse mechanism are strict. The two thresholds of China index fuse mechanism are 5% and 7% respectively. The fuse threshold of 5% is to expect the market to resume normal trading after the "cooling-off period", and the fuse threshold of 7% is to terminate trading under extreme abnormal circumstances to prevent the spread of panic. There are few real triggers.
However, the actual operation results show that the trigger frequency of the fuse mechanism is too high, which affects the normal transaction and violates the original intention of the fuse mechanism. First, the threshold of 5% and 7% is set low, which is not only inconsistent with the characteristics of large stock market volatility in emerging and transitional markets, but also lower and stricter than other mature market countries and regions; Second, the gap between the first and second thresholds is too small. Although historically, the trigger probability of the 7% threshold is not high, because the difference between the two thresholds is only 2%, it is easy to appear after the "cooling-off period". The magnetic attraction effect increases the probability that the stock index hits the 7% threshold in disguise; Third, the "cooling-off period" of 15 minutes is too short to realize sufficient information exchange, and the investment decision-making time for accepting new funds is very limited, which intensifies the market panic.
3 China's investor structure is dominated by small and medium-sized retail investors, and the fuse mechanism is difficult to play a role. The number of small and medium-sized retail investors in China stock market accounts for more than 90%, and the "herding effect" is obvious. When the index is close to the fuse threshold, it is more likely to cause panic, form consensus expectations, and aggravate the stock market's skyrocketing or plunging. In addition, institutional investors such as China and Public Offering of Fund also showed obvious retail behavior due to evaluation incentives and other reasons. When the market plunged, coping with the redemption pressure also strengthened the one-way selling effect.