Analysis : Equity markets in Europe last quarter

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 as a guide to current trends as we come to grips with the pandemic.

To give an overall indication of the market from the beginning of 2019 to the end of Q4 2020, we are comparing the value traded in Europe against the % traded LIS.  From the increases in value and % LIS in Q3, the trend changes in Q4 with reductions in the daily value traded. The % LIS however remains consistent through the quarter on par with the average for the previous quarter.

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 it’s based upon the major index constituents of each market, and includes both price ties and unique best price.
The trend continues in Q4 from Q3 with the majority of venues and markets increasing their % of time at best price. The exception to this was Aquis who had a reduced % best figure on all markets, suggesting a reduction in risk from the liquidity providers.

The Market liquidity picture shown below on Q4 data supports the implication of risk reduction in available liquidity on some venues. Bats and Turquoise reduced liquidity on FTSE, MIB and OMX-S, with Bats also reduced on DAX. Chi-x had reduced liquidity alone on CAC along with the other MTFs on MIB and OMX-S.


The tables above provide a method to assess performance of Dark and Periodic Auction Pools in Europe with the Value Traded, average trade value and measure the % of times there is a corresponding movement on the lit market.

With the combined table of Periodic Auction and Dark Pools together we observe that Bats Periodic is gaining in market share with it now having the largest % of flow on all markets apart from FTSE. Chi-x Dark ranks second on MIB and OMX-S overtaking Turquoise on those markets in Q3. Turquoise is ranked second on CAC and DAX, and Third on MIB and OMX-S in Q4.

In the charts above, to the left we have the absolute impact figures on Dark Pools where we see that the Venues have a variable distribution in impact performance. This is a variation in previous quarters where we observed wider differences between the LIS pools and other MTFs.  Generally, the better performance on Periodic Auction Venues on impact continues.

We observed a decline in SI volume during Q3 after dramatic spikes in July, but as Q4 started the relative SI volumes started to increase steadily into December.

Dark Pool and Periodic volumes also increased, but with Dark Pools at a higher rate of increase until the end of November where declines in both are seen in the last few weeks of December.

The chart on the right shows the extreme peaks in SI volume around mid year, then a return to more normal levels as we moved into the third quarter. There was an increase in Dark volume at the beginning of the quarter, but as we can see from the lit liquidity figures on previous pages there has been a significant increase in Lit liquidity in Q3, but not an associated increase in Dark or Periodic Auction flow.

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

©Markets Media Europe 2021

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