第三章 各國高頻率交易現況
第二節 、 各國高頻率交易之法律監理與規範方向
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惟高頻率交易成交量僅占韓國證券成交量整體比例的 4%，主因在於韓國交 易必須徵收證券交易稅。證券交易稅主要功能有二：其一為抑制過高頻率之交易、
打擊投機，其二為增加稅收、提供危機救援的資金。證券交易稅的課徵將會提高 交易成本、壓縮高頻率交易原本就微薄的獲利空間，使投資人採行高頻率交易的 意願大幅降低；又高頻率交易的進入門檻並不低，其需要大量金費建置設備，實 亦為不可忽視之阻力，對一般投資人而言過於負擔而難以實施，因而機構投資人 比例於市場上比重較低也是造成高頻率交易比例低之主因之一。
我國現行亦須扣徵證交稅82，且投資人結構與韓國極為類似，不同之處在於 我國尚未採行逐筆交易的撮合模式。故本文推測，倘若日後我國亦改行逐筆交易 而開放高頻率交易，發展之狀況很可能與韓國較為近似而不若美國、歐洲等市場 蓬勃。
第二節、各國高頻率交易之法律監理與規範方向
目前全球對於高頻率交易之主要規範方向可歸納出：市場公平性、利益衝突、
風險控管、登錄註冊特許、市場監管、證券交易稅與錯誤交易此幾大方向83。而 各國所採取之制度亦依國情與其對高頻率交易的看法而有所不同，本文以下嘗試 分析整理主要各國對高頻率交易之監理與規範方向：
第一項、美國
對於高頻率交易之監管，美國監管部門歷經大量調查研究，並遭遇閃電崩盤 的重創之下，吸取教訓後展開較為嚴格之策略，美國之監管制度可簡單整理如下
84：
一、斷路制度/暫停交易（circuit breakers）
斷路制度是指在交易當中價格波動幅度觸及規定之額度（即斷路點）時，
82 對買賣有價證券，除各級政府發行之債券外，依證券交易稅條例規定所課徵的稅。凡買賣公
司發行之股票、公司債及經政府核准得公開募銷之其他有價證券，悉依規定課證券交易稅。（證
券交易稅條例第 1 條），我國財政部網站：
https://www.etax.nat.gov.tw/etwmain/front/ETW118W/VIEW/520，最後瀏覽日：2016 年 5 月 20 日。
83 李存修，同前揭註 14，頁 21-25。
84 以下參考整理自：于明，歐美高頻交易監管對我國的啟示，海南金融月刊第 325 期，頁 56 以 下，2015 年；以及李存修，前揭註 14，頁 26 以下。
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交易將自動被暫停一定時間，爾後再行恢復之中斷機制，但後續行交易時仍 受斷路點之限制。
此一機制起源於美國，由於美國歷經幾次股市價格大幅波動的考驗並對 其造成深遠的影響，因此於 1982 年，芝加哥商品交易所對標準普爾 500 指 數期貨合約實行日交易價格之限制。雖然此一制度一度於 1983 年被廢止，
然而因於 1987 年黑色星期一事件發生、股價之異常波動的警示，雷根總統 責成「股市機能調查小組」，該小組針對該次事件做成報告85並建議紐約證 交所及芝加哥商業交易所重拾斷路機制作為其市場上交易失控洪流的擋水 牆以保護市場。
然而縱然有此一守門員，美國仍於 2010 年受閃電崩盤重創，這次的事 件暴露了斷路機制的兩大缺陷，其一為斷路點的設置過高，致無法及時觸發 斷路；其二為沒有對個股的限制措施。因此，美國證券交易委員會為防止該 暴跌事件重演，針對前述原版斷路機制的缺點做了修正，於 2010 年 12 月，
即發生閃電崩盤當年底，批准施行依市場需求修訂後新版的斷路機制。此次 閃電崩盤事件中，股市在沒有任何政治或經濟利空消息的情況下出現劇烈波 動，道瓊工業平均指數在 20 分鐘內下挫近千點，跌幅超過 9%，而股市斷路 措施機制並未順利被啟動，促使主管機關檢討現有「斷路措施」機制之啟動 規則，其後美國 SEC 研議推出新版股票漲跌幅上下限（Limit up-Limit down）
規定，並同時將適用標的擴及全體證券，漲跌幅度限制由 10%限縮為 5%86， 斷路機制將更容易被觸發，及早介入保護市場失靈的情況，以預防前述事件 再次發生。
而除了美國，其他亦有採行斷路暫停交易機制的國下簡單比較如下：
85 周曉琪，美國布雷迪股市機能調查小組報告摘要，證券暨期貨月刊 v6n1-v6n6 合訂本，頁 47-48，
1988 年。
86 吳宛怡，王宏瑞，證交易市場之回顧、演進與展望（下），證券暨期貨月刊第 29 卷第 10 期，
頁 34，2011 年 10 月。
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消該訂單。
三、無成交意向報價（Stub quotes）
在市場崩盤或劇烈震盪的情況下，造市者可能會下達高度偏離市場價格 的訂單。當造市者須遵循其報價義務、又不想為市場提供流動性時則可能利 用無成交意向的報價（即所出的買賣價格嚴重偏離市場真實報價），來維持 雙邊報價而不產生成交之交易，而仍遵守其報價義務。惟在閃電崩盤事件發 生後，美國證券交易委員會制訂了限制此種將造成市場流動性大幅下降之無 成交意向報價的相關辦法。就在斷路機制適用範圍內之證券，造市者的報價 不能超過紐約交易所最高買價和最低賣價的 8%；而在斷路機制不適用的時 段（即開盤前與收盤後），造市者的報價則不得超過主關機關規定報價 20%
以上。
四、大型交易商註冊報告制度
美國主管機關提議高頻率交易業者須進行註冊，此一系統要求大型交易 商進行登記並提交相關規定之資料，而每個大型交易商在登記之後會取得一 個專有的認證號碼，其需要向註冊的經紀交易商提供相關交易數據，包括成 交之委託單、被取消之買賣單與錯單等。經紀交易商將收集維護這些數據，
並於交易所有需要的時候向之提交。
此一系統致力於幫助交易所盡速並認識、掌控對市場有重大影響的交易 者，並收集所需的相關數據資料，以便交易所對重大事件展開後續追蹤調查。
透過整合式查核軌跡系統（Consolidated Audit Trail System）的設置，管控市 場濫用或異常事件的情形。整合式查核軌跡系統建立了一個記載著各個詳細 事項：包括修改委託單、取消委託單、將委託單傳送予其他交易所及委託單 的執行結果等等事項的複雜龐大資料庫。並依據法令規定，該系統內所涵蓋 的逐項資料，證券經紀商應至少保留其交易紀錄三年，以利維護資料庫。
五、利益衝突規範
SEC Rule10b-1088規定，券商需在每筆交易中向客戶出示書面資料並說
88 § 240.10b-10 Confirmation of transactions.
（a） Disclosure requirement. It shall be unlawful for any broker or dealer to effect for or with an account of a customer any transaction in, or to induce the purchase or sale by such customer of, any security （other than U.S. Savings Bonds or municipal securities） unless such broker or dealer, at or
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before completion of such transaction, gives or sends to such customer written notification disclosing:
（1） The date and time of the transaction （or the fact that the time of the transaction will be furnished upon written request to such customer） and the identity, price, and number of shares or units （or principal amount） of such security purchased or sold by such customer; and
（2） Whether the broker or dealer is acting as agent for such customer, as agent for some other person, as agent for both such customer and some other person, or as principal for its own account; and if the broker or dealer is acting as principal, whether it is a market maker in the security （other than by reason of acting as a block positioner）; and
（i） If the broker or dealer is acting as agent for such customer, for some other person, or for both such customer and some other person:
（A） The name of the person from whom the security was purchased, or to whom it was sold, for such customer or the fact that the information will be furnished upon written request of such customer; and
（B） The amount of any remuneration received or to be received by the broker from such customer in connection with the transaction unless remuneration paid by such customer is determined pursuant to written agreement with such customer, otherwise than on a transaction basis; and
（C） For a transaction in any NMS stock as defined in § 242.600 of this chapter or a security authorized for quotation on an automated interdealer quotation system that has the characteristics set forth in section 17B of the Act （15 U.S.C. 78q-2）, a statement whether payment for order flow is received by the broker or dealer for transactions in such securities and the fact that the source and nature of the compensation received in connection with the particular transaction will be furnished upon written request of the customer; provided, however, that brokers or dealers that do not receive payment for order flow in connection with any transaction have no disclosure obligations under this paragraph; and
（D） The source and amount of any other remuneration received or to be received by the broker in connection with the transaction: Provided, however, that if, in the case of a purchase, the broker was not participating in a distribution, or in the case of a sale, was not participating in a tender offer, the written notification may state whether any other remuneration has been or will be received and the fact that the source and amount of such other remuneration will be furnished upon written request of such customer; or
（ii） If the broker or dealer is acting as principal for its own account:
（A） In the case where such broker or dealer is not a market maker in an equity security and, if, after having received an order to buy from a customer, the broker or dealer purchased the equity security from another person to offset a contemporaneous sale to such customer or, after having received an order to sell from a customer, the broker or dealer sold the security to another person to offset a contemporaneous purchase from such customer, the difference between the price to the customer and the dealer's contemporaneous purchase （for customer purchases） or sale price （for customer sales）;
or
（B） In the case of any other transaction in an NMS stock as defined by § 242.600 of this chapter, or an equity security that is traded on a national securities exchange and that is subject to last sale
reporting, the reported trade price, the price to the customer in the transaction, and the difference, if any, between the reported trade price and the price to the customer.
89 § 240.15c1-1 Definitions.
As used in any rule adopted pursuant to section 15（c）（1） of the Act:
（a） The term customer shall not include a broker or dealer or a municipal securities dealer; provided, however, that the term “customer” shall include a municipal securities dealer （other than a broker or dealer） with respect to transactions in securities other than municipal securities.
（b） The term the completion of the transaction means:
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（1） In the case of a customer who purchases a security through or from a broker, dealer or municipal securities dealer, except as provided in paragraph （b）（2） of this section, the time when such customer pays the broker, dealer or municipal securities dealer any part of the purchase price, or, if payment is effected by a bookkeeping entry, the time when such bookkeeping entry is made by the broker, dealer or municipal securities dealer for any part of the purchase price;
（2） In the case of a customer who purchases a security through or from a broker, dealer or municipal securities dealer and who makes payment therefor prior to the time when payment is requested or notification is given that payment is due, the time when such broker, dealer or municipal securities dealer delivers the security to or into the account of such customer;
（3） In the case of a customer who sells a security through or to a broker, dealer or municipal securities dealer except as provided in paragraph （b）（4） of this section, if the security is not in the custody of the broker, dealer or municipal securities dealer at the time of sale, the time when the security is delivered to the broker, dealer or municipal securities dealer, and if the security is in the custody of the broker, dealer or municipal securities dealer at the time of sale, the time when the broker, dealer or municipal securities dealer transfers the security from the account of such customer;
（4） In the case of a customer who sells a security through or to a broker, dealer or municipal securities dealer and who delivers such security to such broker, dealer or municipal securities dealer prior to the time when delivery is requested or notification is given that delivery is due, the time when such broker, dealer or municipal securities dealer makes payment to or into the account of such
（4） In the case of a customer who sells a security through or to a broker, dealer or municipal securities dealer and who delivers such security to such broker, dealer or municipal securities dealer prior to the time when delivery is requested or notification is given that delivery is due, the time when such broker, dealer or municipal securities dealer makes payment to or into the account of such