At this time of year the discussion often turns to how Father Christmas is able to get around so many households in just one night. For sure, the sleigh is fitted with the latest technology such as smart routers and machine learning algorithms to plot the optimal course between well behaved children. But the evidence is building that in his day job the big man may be a high frequency trader. The time it takes to get between Madrid and London at light speed is around four milliseconds. Of course, that’s the physical limit and there are plenty of items that cause friction such as chimneys and church steeples, or if you are a high frequency trader, firewalls and trading controls. The parallels are obvious.
At big xyt, we like to think big. At Christmas there’s nothing like a big pile of presents under the tree on Christmas morning and the big parcels are often the least expected and the most surprising. It’s got us thinking about the biggest corporate events of the year. One in particular springs to mind which was the share swap between Naspers Ltd and its sister company, Prosus NV. Naspers was the most traded name on the Johannesburg Stock Exchange (also the home of the Huge Group by the way!) at around €250M per day, with Prosus in second spot with around €100M. Together, they are the top two names in the JSE’s SWIX index with about 20% share of overall market volumes.
The summer saw increased nervousness in the European markets in reaction to a fragile recovery from the pandemic and concerns about the spectre of inflation. However, trading in equities remained quite buoyant, especially in September, and Q3 volumes returned to their seasonal, pre-pandemic average, in contrast to last summer’s record breaking doldrums. 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.
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.
Welcome to our latest quarterly survey of market volumes and fragmentation trends in European equities. Following a desolate second half in 2020 and despite ongoing Covid-19 and Brexit-related uncertainty, the first quarter of 2021 saw a return to some kind of normality in market volumes. View the complete report
The big xyt Microbites series is for those who are unfamiliar with the European market structure or need a refresher. In this third episode we look at dark trading in Europe and the unique rules that limit the activity. We recommend that you read the previous episodes if you are unfamiliar with any of the terms used here. View the article
In our second episode on the European market structure landscape, we describe the grandly named “Multilateral Trading Facilities” (MTFs) and compare them to the better known national stock exchanges.
In 2020, we took to trading from our bedrooms, garden sheds and conservatories, learned how to download several hundred video conferencing packages, set up a home-school on the kitchen table, and went to work in our pyjamas. As we couldn’t go out on New Year’s Eve to watch the fireworks, we stayed in and prepared our 2020 survey of European equity market volumes and other statistics.
It’s been a turbulent year for the airlines, and just as the arrival of vaccines seemed to clear away some of the clouds, they’ve been hit by a blizzard of travel restrictions. In today’s 12 Days of Trading post we look at easyJet, a UK travel sector mid cap stock, as an example of how liquidity analysis can inform trading tactics during times of volatility. easyJet’s shares seemed to be on a smooth climb out just a few weeks ago before suffering a 13% price drop over the weekend, most of which has been recovered at the time of writing.
It would be remiss of us not to comment on some observations on market quality as a result of the macro surprises experienced this year. There was a lovely correlation between volatility/uncertainty and market quality during 2020. “Lovely” to behold, but unfortunately, expensive for many end investors. It would seem that the market is intended to be fair to all participants but some thrive more in choppy seas. We see the first evidence of this in Exhibit A today.
