Do some traders have an advantage over others… and does it matter? How fast are equity markets? Or how much of the market operates at high speed? big xyt took an electron microscope to our normalised market data to find out. We analysed UK lit markets to measure the time between a trade and the last relevant orderbook change. The FCA established 500μs as a speed benchmark in their latency races paper. This is 200x faster than the 1/10 of a second after the gun in which a sprinter can false start.
There is a difference between what people say and what they do. Companies are realising the importance of actions speaking louder than words and are beginning to focus on changing behaviours not just the “Values” statement on their website. Investments are no different as can be seen in our analysis today. Investment in companies with strong Environmental, Social and Governance (ESG) mandates are already being grouped together by ETF issuers to facilitate easier investment in ready-made portfolios of socially responsible companies.
Welcome to our latest quarterly survey of market volumes and fragmentation trends in European equities. If you are unfamiliar with the topic, we encourage you to visit our website to read our Microbites series for an explanation of European market microstructure. With the major European indexes enjoying substantial price gains in H1 2021, we might have expected a similar boost in market volume. However the quarter just finished was the weakest Q2 in over four years. In this edition of the survey we have added a view of the ETF market, which by contrast has grown in volume terms by 6.5% versus 2020, albeit on a cross-asset basis.
