宽客秀

In the morning session of A-shares, the Shanghai and Shenzhen 300 Index unexpectedly experienced a 2.32% plunge, while the Shanghai and Shenzhen Healthcare 300 Index showed a 17% decline. However, the constituent stocks did not experience significant losses. The Shanghai and Shenzhen 300 ETF Index even exhibited a clear rebound trend and remained stable without any obvious abnormal movements. Subsequently, the Shanghai Stock Exchange issued an announcement titled "Announcement on the Investigation of Abnormal Cross-Market Indexes" in collaboration with the index compilation institution, China Securities Index Co., Ltd. Shortly after, the Shanghai Stock Exchange released a second announcement titled "Announcement on the Progress of Dealing with Abnormal Cross-Market Index Quotes".

Figure 1: Announcement on the Progress of Dealing with Abnormal Cross-Market Index Quotes by the Shanghai Stock Exchange

At 11:29 AM, A-shares staged another magical one-minute performance. Multiple erroneous indexes were all corrected within one minute. Instantly, multiple indexes displayed either super large bearish or super large bullish candlesticks.

Figure 2: Shanghai and Shenzhen 300 Index Exhibiting Super Large Bullish Candlestick at 11:29 AM

In the afternoon, the Shanghai Stock Exchange issued a third announcement stating that real-time index quotes had returned to normal at 1 PM after emergency handling (static indicators such as the highest and lowest values of the relevant indexes will be corrected after the market closes).

This malfunction may have caused ETF arbitrage errors or triggered automatic stop-loss of quantitative programs tracking the indexes. From the current perspective, there hasn't been widespread condemnation in the market, perhaps due to the relatively low presence of quantitative trading in the Chinese market.

Trading Log:

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