美國[編輯]
熔斷機製最早由美國的紐約股票交易所在1987年提出，以避免發生類似“黑色星期一”的股災。此時的熔斷機製僅針對大盤指數進行熔斷。1997年10月27日，道瓊斯工業指數暴跌7.18%，收於7161.15點，這是熔斷機製在1988年引入之後第一次被觸發[4]。目前美國指數熔斷機製的基準指數為標普500，單項跌幅閾值為7%、13%、20%。當指數較前一天收盤點位下跌7%、13%時，全美證券市場交易將暫停15分鍾，當指數較前一天收盤點位下跌20%時，當天交易停止。2010年美股又開始實行個股熔斷機製[5]。
United States[edit]
Description[edit]
On the New York Stock Exchange (NYSE), one type of trading curb is referred to as a "circuit breaker". These limits were put in place after Black Monday in 1987 in order to reduce market volatility and massive panic sell-offs, giving traders time to reconsider their transactions. The regulatory filing that makes circuit breakers mandatory on United States stock exchanges is Securities and Exchange Commission Rule 80B.[1] It is there that the specifics of circuit breakers are elaborated and the various price limits are outlined for investors to see.
The most recently updated amendment of rule 80B went into effect on April 8, 2013, and has three tiers of thresholds that have different protocols for halting trading and closing the markets.
At the start of each day, the NYSE sets three circuit breaker levels at levels of 7% (Level 1), 13% (Level 2) and 20% (Level 3). These thresholds are the percentage drops in value that the S&P 500 Index would have to suffer in order for a trading halt to occur. Base price levels for which these thresholds will be applied are calculated daily based on the preceding trading day’s closing value of the S&P 500. Depending on the point drop that happens and the time of day when it happens, different actions occur automatically: Level 1 and Level 2 declines result in a 15-minute trading halt unless they occur after 3:25pm, when no trading halts apply. A Level 3 decline results in trading being suspended for the remainder of the day.[1]
Circuit breakers are also in effect on the Chicago Mercantile Exchange (CME) and all subsidiary exchanges where the same thresholds that the NYSE has are applied to equity index futures trading. However, there is a CME specific price limit that prevents 5% increases and decreases in price during after hours trading.[2] Base prices for which the percentage thresholds are applied are derived from the weighted average price on the future during the preceding trading day's last thirty seconds of trading. Price limits for equity index and foreign exchange futures are posted on the CME website at the close of each trading session.[3]
There is a security specific circuit breaker system, similar to the market wide system, that is known as the "Limit Up - Limit Down Plan" (LULD). This LULD system succeeds the previous system which only prevented dramatic losses, but not speculative gains, in a short amount of time. This rule is in place to combat security specific volatility as opposed to market wide volatility. The thresholds for a trading halt on an individual security are as follows. Each percentage change in value has to occur within a 5-minute window in order for a trading halt to be enacted:
- 10% change in value of any security that is included in the S&P 500 index, the Russell 1000 index, and the Invesco PowerShares QQQ ETF.
- 30% change in value of any security that has a price equal to or greater than $1
- 50% change in value of any security that has a price less than $1
The previous trading day’s closing price is used to determine which price range a specific security falls into.[4]
