On September 16th, Hong Kong's stock market witnessed a jaw-dropping extreme trading session. TRANSTHERA-B (02617) experienced a roller-coaster ride from surge to collapse within a single day, skyrocketing nearly 60% during morning trading before plummeting sharply in the afternoon with losses quickly expanding over 58%. The full-day amplitude reached an astonishing 124%. By market close, the stock price had fallen to HK$192, with total market capitalization retreating from its peak to HK$76.204 billion. Behind the over HK$4.5 billion trading volume and 4.13% turnover rate lies a sophisticated battle dominated by quantitative funds.
**Extreme Volatility Exposes Liquidity Trap**
Market data reveals multiple abnormal characteristics in TRANSTHERA's daily performance. The stock opened at HK$477.2, gapping up 15% from the previous day's closing price of HK$415, indicating strong overnight bullish sentiment accumulation. Post-opening, the stock continued its surge, reaching a historical high of HK$679.5 with gains approaching 60%.
Notably, addressing the abnormal price and volume fluctuations during morning trading, TRANSTHERA issued a mid-day announcement stating that the company's trading price and volume had experienced unusual variations recently. The board confirmed it was unaware of any reasons causing such abnormal price and volume movements in the shares.
However, the tide turned dramatically in the afternoon session. The stock began a free-fall decline, touching a low of HK$165 before closing at HK$192, representing a full-day decline of 53.73%. Such extreme volatility is exceptionally rare in mature capital markets, with the 123.98% amplitude clearly indicating complete failure of the market's price discovery mechanism in a short timeframe.
More surprisingly, despite trading volume reaching HK$4.543 billion, the stock's turnover rate was merely 4.13%. This combination of low turnover with high volatility reveals typical characteristics of quantitative trading—genuine panic selling and buying occurred only in a minimal number of shares, with most shares in "locked" positions and extremely shallow market depth.
Market data further reveals the existence of a liquidity trap. The extreme ratio of 90.91% buy orders versus 9.09% sell orders in the ten-level order book indicates all buy orders were placed far below market price awaiting "bargain hunting," while lacking active buying support at current levels.
Notably, despite the HK$4.543 billion trading volume, the stock's turnover rate was only 4.13%. This data combination reveals typical quantitative trading characteristics: genuine panic selling and buying occurred only among a small portion of shares, with most shares in "locked" status and extremely shallow market depth.
From an investor structure perspective, TRANSTHERA's shareholding base shows clear polarization: one side consists of strategic investors with long-term confidence in company fundamentals who hold stable positions and rarely sell; the other comprises short-term traders represented by quantitative funds utilizing algorithmic high-frequency trading. When the latter collectively shifts to selling while the former holds steady, the market lacks sufficient buying support, causing limited sell orders to trigger significant price declines.
Tick-by-tick trading data provides additional details. At 15:59, multiple consecutive transactions of 500 shares (exactly one board lot) occurred at HK$187.7. This "lot-by-lot" trading pattern typically indicates programmatic trading testing market liquidity or attempting precise closing price control, providing reference anchors for the next trading day's algorithms.
**Dissecting the Operational Mechanism Behind Algorithmic Gaming**
TRANSTHERA's extreme price action perfectly demonstrates typical operational patterns of domestic quantitative institutions borrowing from US stock market tactics, with the entire process divisible into four stages.
**Stage One: Liquidity Attraction and Short Squeeze Setup** Quantitative funds first exploit biotech stocks' characteristic high valuations and low liquidity, using algorithms to marginally push prices higher, attracting trend traders and retail momentum buyers. The opening surge to HK$679 likely triggered programmatic buy orders and short covering, creating an artificial short squeeze.
**Stage Two: Liquidity Withdrawal and Flash Crash Trigger** After pushing prices to extreme highs, primary quantitative funds instantly withdraw all liquidity-providing buy orders while activating algorithmic sell orders. Due to extremely shallow market buying depth, the first sell order causes significant price declines. The HK$165 low likely hit certain quantitative models' risk control lines, triggering cascading programmatic selling.
**Stage Three: Long Liquidation and Spiral Decline** Rapid price declines trigger various stop-loss orders (both institutional programmatic risk controls and retail stop-losses). These stop-losses become market sell orders, further impacting the market. Simultaneously, algorithms accelerate selling based on real-time data (such as volume ratio of 1.49 showing increased activity), forming self-reinforcing downward spirals.
**Stage Four: Low-Level Turnover and Position Adjustment** When prices fall to sufficiently low levels (approaching HK$170), previously positioned shorts begin profit-taking (buying), trading with funds attempting to "bottom-fish." Quantitative programs also complete a perfect "sell high, buy low" cycle.
Latest disclosed broker seat data provides crucial footnotes to this crash, revealing hidden capital camp battles. The Shanghai and Shenzhen Stock Connect channels showed completely opposite operations. China Investment (Shanghai-Hong Kong Connect) recorded net buying of 497,500 shares, while China Chuangying (Shenzhen-Hong Kong Connect) recorded massive net selling of 801,500 shares. This indicates huge disagreement among mainland funds regarding the stock's value assessment. Shenzhen-Hong Kong Connect funds' determined exodus became one of the day's major short forces.
On the net selling list, Morgan Stanley (-258,000 shares), J.P. Morgan (-41,500 shares), ABN AMRO (-90,500 shares) and other top international investment banks featured prominently. They typically represent overseas institutional investors, hedge funds, and quantitative fund movements, with their consistent selling indicating professional fund groups chose high-level profit-taking or momentum shorting on that day.
In summary, TRANSTHERA-B's "ice and fire single-day journey" was inseparable from quantitative fund-dominated market gaming. The stock's single-day amplitude approaching 124% and trading volume exceeding HK$4.5 billion with only 4.13% turnover rate highlight algorithmic trading's gaming mechanism in extremely shallow market depth: through short squeezing, liquidity withdrawal, stop-loss triggering, and low-level covering operations, completing "sell high, buy low" cycles. Investors must remain highly alert to algorithm-driven price volatility risks.