報告指程式買賣及高頻交易佔主板現貨交易約11%
金融學院轄下負責研究工作的香港貨幣及金融研究中心發表題為「香港股票市場的程式買賣及高頻交易:採用、市場影響及風險管理」的應用金融研究報告。
報告指出,程式買賣及高頻交易整體可改善市場流動性,不過流動性增加情況未必具韌性,部分例子顯示程式買賣及高頻交易甚至會削減機構投資者的整體可用流動性。此外,受程式買賣及高頻交易活動激烈影響,或會出現更高的跨市場流動性共同波動,意味不同市場衝擊傳遞的速度加快,有機會帶來潛在系統性風險。
調查估算現時主板所有現貨股票交易中約有11%與程式買賣及高頻交易相關,而整體主板訂單量為執行量的七倍左右,總體而言程式買賣及高頻交易於2018年8月至2020年7月維持溫和、穩定,初步分析顯示期內程式買賣及高頻交易活動與市場流動性轉差或市場波動增加無關連,但仍需更多數據研究程式買賣及高頻交易帶來的流動性是否有彈性及穩定,以及在市場混亂時程式買賣及高頻交易對市場波動性帶來的影響。
金管局副總裁兼香港貨幣及金融研究中心副主席劉應彬表示,採用程式買賣及高頻交易技術可以帶來新的風險,而市場參與者及交易所已經提出或實施了各項措施,以緩解風險及增強傳統風險管理措施的效用,希望報告能夠作為深入了解香港證券市場的程式買賣及高頻交易的起點,並能夠為程式買賣及高頻交易中可能出現的潛在風險提供有意義的見解。
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