以歐盟MiFID2探討臺灣證券及期貨市場價格穩定機制之發展方向

A Study of the Development of Price Stability Mechanisms for Taiwan's Securities and Futures Markets Based on the Perspective of the Markets in Financial Instruments Directive 2

美國期貨市場於1987年10月19日發生黑色星期一及2010年閃電崩盤等著名市場失靈事件，促使全球金融市場實施斷路機制，歐洲證券暨市場管理局於2017年發布上述機制的校正準則，提供歐盟各成員國一套整合性架構。反觀臺灣證券及期貨市場對於上述崩盤事件的預防，分別建立瞬間價格穩定機制及動態退單機制，缺乏一套跨市場整合架構。本文從防止市場失靈的角度，分析斷路機制、瞬間價格穩定機制及動態退單機制的有效性。本文建議臺灣證券及期貨市場未來應建立斷路機制，並以歐盟及2017年European Securities and Markets Authority（ESMA）校正準則，提出臺灣證券及期貨市場之短、中、長期推動時程。

The famous market failure events (such as the Black Monday in October 1987 and the Flash Crash in 2010) promote the implementation of circuit breakers in global financial markets. The European Union (EU) amended final version of markets in financial instrument directive (MiFID 2) in 2014. In 2017, European Securities and Markets Authority (ESMA) subsequently released ''Guidelines on Calibration of Circuit Breakers and Publication of Trading Halts under MiFID 2.'' Such rules provide an integrated framework of circuit breakers for EU member countries. In contrast, prevention of such flash crash events in Taiwan securities and futures markets do not deal with each other. Simplified circuit breakers and price limits, the precaution of flash crashes, have been used in the Taiwan securities market and futures market, respectively. Those markets need an integrated framework of circuit breakers. This paper analyzes the effectiveness of circuit breakers, simplified circuit breakers and price limits from the perspective of preventing market failures. We recommend that Taiwan securities market and futures market should establish circuit breakers in the future. Finally, it analyses recent regulations of securities and futures markets in Taiwan, referring to MiFID 2 and 2017 ESMA guidelines, then it tries to map the short-term, mediumterm, and long-term procedures to launch regulations for circuit breakers in such markets.