European Equities – Market Microstructure Survey Q2 2020

The strange times continue. While Q1 broke all the records, Q2 came up with a few surprises. The biggest MSCI rebalance in history pushed the figures up for May, thanks to some major index re-weightings. Volatility returned in June to create the 3rd biggest month since MiFID2 began. In our quarterly review we look at the patterns of volumes and market share and this time we take a closer look inside the box of Systematic Internalisation.