Analysis : Equity markets in Europe : Summer 2019

The charts and figures below are based upon LiquidMetrix’s unique benchmarking methodology that provides accurate measurements of trends in market movements. We have seen many changes in market microstructure over the last year, and here we present statistics based on the first two quarters of 2019 as a guide on the current trends

To give an overall indication of the market in the first half of 2019, we again compare the value traded in Europe against the % traded LIS. We can see in H1 a levelling off in % LIS, and a slight decline into May and June.

One criterion 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 it’s based upon the major index constituents of each market, and includes both price ties and unique best price.

The lit markets have altered characteristics compared against the previous quarter, with significant increases in best price ties across venues (most increases were above 20%). Aquis gained a 2nd ranking on the CAC, but has moved back to 3rd rank on OMX-S during the quarter.

The market liquidity picture has reversed the trend from the previous quarter, with an increase in liquidity being made available on lit venues in the second quarter of 2019.

Taking a 10 basis point measure from the mid price, we can see that liquidity has returned, but not to the levels seen in Q4 2018.

In venue liquidity ranking, Turquoise moved up to 3rd rank on the CAC and SMI.

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. We can observe that there are different characteristics across the various market centres.

The value traded on FTSE increased in Q2 2019 when compared with the previous quarter, but reduced on all the other markets. For Q2 2019, we observed that XUBS increased its share of the dark flow in the CAC and Liquidnet increased its trading and ranking on SMI and MIB. CHID reduced market share on the CAC. BLOX and XUBS also went down a rank on the SMI.

Using the same methodology we assess performance of periodic auction venues together. Ranking by value traded, the clear leader over the period is Bats Periodic Pool, BATP.

AQXA moved to third rank on FTSE with XPAC and TRQA reducing FTSE market share. TRQA, SGMY and XPAC all increase market share on the SMI at the expense of AQXA.

On OMX-S, AQXA had an increased in market share, and TRQA reduced in Q2 2019.

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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