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近年来国内股票市场发生多起权重股在毫无征兆的情况下突然出现尾市价格异常波动的现象,这与境内外被动跟踪A股指数投资的基金机构定期进行的集中、大规模调仓交易密切相关。2013年12月20日尾市异动事件,首次披露了境外投资者跟踪A股指数的调仓交易策略和手法。本文试图对类似指数型基金的交易行为异常性进行类型化分析,探讨交易策略的正当性及在A股市场的异化现象,勾勒行为可能存在的违法状态及规制依据。结合当前A股市场现状及国外监管经验,提出应合理发展多维度市场、注重培育抗风险能力,通过加强交易机制创新、提升市场价格自愈能力,进一步转换监管思维,通过国际监管协作防范打击跨市场违规。
In recent years, there have been many heavyweights in the domestic stock market suddenly showing the phenomenon of abnormally fluctuating prices at the end of the session without any warnings. This is in line with the regular concentrated and large-scale transfer of custody positions conducted regularly by fund institutions that invest domestically and internationally in passive A-share indexations Related. On December 20, 2013, the end of the trading day, the first disclosure of overseas investors to track the A-share index transfer positions trading strategies and practices. This article tries to analyze the abnormality of the trading activities of similar index funds, discusses the legitimacy of the trading strategies and alienation in the A-share market, and outlines the possible illegal status and regulatory basis. Combined with the current A-share market status and foreign regulatory experience, this paper proposes that the multi-dimensional market should be developed reasonably and the anti-risk ability should be fostered. By strengthening the innovation of trading mechanism and enhancing the market price self-healing capability, the Bank should further change its regulatory thinking and prevent cross- Market irregularities.