以歐盟程式交易管制規範初探臺灣期貨市場監理制度的發展方向

An Initial Study of Supervision Regimes Development of Computer Program Tradings for Futures Market in Taiwan, based on the European Union Regulations of Program Tradings

1987年10月19日的「黑色星期一」（Black Monday 1987）及2010年「閃電崩盤」（Flash Crash 2010）等著名市場事件的發生，顯示電腦程式交易已成為國際金融市場的主導力量，歐盟於2011所公布之金融商品市場指令，將程式交易納入規範。目前國外文獻對於電腦程式交易的研究，多把程式交易策略「視為單一整體」（並未區分各種交易策略），分析其對於金融市場的影響，尚無一致性的定論。本文以各類程式交易策略著手，逐一分析各類策略對市場運作的影響，並以歐盟對程式交易規範，分析現行臺灣期貨市場監理法規，提出臺灣期貨市場推動程式交易規範之短、中、長期時程。本文建議臺灣期貨市場，短期可比照臺灣股市採行市場斷路機制，以因應電腦程式交易對市場的負面衝擊。

The famous market events (such as the Black Monday in October 1987 and the Flash Crash in 2010) show that the computer program trading has formed a dominant force in global financial markets. So as to in 2011, the European Union promulgated new version of Markets in Financial Instrument Directive (MiFID) to regulate computer program trading. So far, both foreign and domestic literatures regarding computer program trading mostly focus on “program trading itself” (i.e. to view all kinds of computer program trading as one trade category without considering a variety of strategies behind the trades) and the impact for financial markets, and there are no consistent conclusions yet. First, this paper analyses different types of trading strategies to see their impact on markets’ operation. Second, it analyses resent regulations of futures market in Taiwan, referring to the EU’s regulations of computer program trading, then it tries to map the short-term, medium term, and long-term procedures to launch regulations for computer program trades in Taiwan. Finally, this paper recommends that Taiwan’s supervisory authority adopts the circuit breaker mechanism (circuit breakers) of Taiwan’s securities market for Taiwan’s futures market in the short run, in order to cope with the negative impact of computer program trading on the market.