Analysis : Equity markets in Europe : Autumn 2019

LiquidMetrix analyses consolidated performance figures for equities and ETFs traded in Europe in the previous quarter.

LiquidMetrix’s unique benchmarking methodology provides accurate measurements of trends in market movements. We have seen many changes to market microstructure over the last year, and here we present statistics based on three quarters of 2019 as a guide on the current trend.

To give an overall indication of the market in 2019, we are comparing the Value Traded in Europe against the % Traded LIS. The trend from Q1 to Q2 was a steady increase in the %LIS against the general increase in value traded to its peak in June. Value Traded appears to have been on a slight decline from mid year with the downward trend continuing into the end of Q3. The % LIS, however, has remained consistent throughout the Q2/Q3 period.

One criteria to assess Venue quality is the % of times the Venue has a Best Price in the market. This is a measure of how competitive the Lit markets are, as its based upon the major index constitients of each market and includes both price ties and unique best price.

The Lit markets have altered characteristics compared against Q2, with the strength of the Primary Venues becoming a factor as there were significant decreases across all MFTs in best price ties across all markets, with the exception of Aquis solidifying its 2nd place ranking now on all markets.

The Market liquidity picture has against reversed the trend from the previous quarter, with a decrease in liquidity across all MTFs on all markets in Q3.

Some Primary markets appear to have benefited from the decline in available liquidity with increases on FTSE, DAX and OMX-s, but declines with the rest of the Venues on CAC and MIB.

The tables below give one method of how to assess performance of dark pools in Europe. For trades in each major index constituent stock we review the value traded during the period, the average trade size and the relative impact on the Lit market using as a measure the % of times there is a corresponding movement on the Lit market.

The largest change was on the DAX where Turquoise increased in traded value to overtake Chi-X.

Using the same methodology we assess performance of periodic auction venues together.

For the Periodic Auction Pools, Turquoise gained market share and ranking on DAX and OMX-S, with the ITG XPAC venue gaining on the MIB. Aquis went down in ranking on MIB and OMX-S.

With the dramatic changes in Trading landscape in July for Swiss Major stocks preventing trading on European MTFs, we take a look at how this may have affected Execution performance.

We can see from the chart below the fall off in volumes from the MTFs and the resultant increase in value traded on XSWX from July.

Spreads on appearance of by the reduction in competition as spreads were on par with those on XLON in April/May, but decreased in June prior to the regulatory changes, and continue to remain narrow. This may be due to the additional liquidity being present as a residual from the other markets.

ISS LiquidMetrix are pioneers in the measurement of European Fragmented markets, and provide research,TCA best execution and Surveillance for financial market participants and regulators – www.liquidmetrix.com

©BestExecution 2019

 

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