European Equities – Market Microstructure Survey Q2 2020 May Update

Equity Spreads from 2019 to 2020 during Covid

European Equities – Market Microstructure Survey Q2 2020 May Update

This image has an empty alt attribute; its file name is image.png

May market volumes and fragmentation return to normal, but that is not the full story.

by Richard Hills, big xyt

May could almost be described as uneventful in that volumes and market share seem to have reverted to business as usual.  A quick look at some market quality metrics tells us that this is far from the case as uncertainty and volatility continue.  The chart shows the weekly evolution of spreads since September 2019, both in absolute terms (in bps) and the %change since September for each index.  For the most liquid, large cap names in Europe, spreads remain well above their pre crisis levels notably for the UK100.

The full survey is available here.

Subscribe for future editions by using our newsletter subscription.

If you find these pieces of analysis useful, you will find there is a lot more you can do with our Liquidity Cockpit. Clients using our Execution Analysis/TCA are able to measure execution performance with the demonstrated precision and flexibility.

Do you want to receive future updates directly via email? Use the following form to subscribe.

As ever we welcome feedback as this can shape further contributions from our team and the Liquidity Cockpit our unique window into European equity market structure and market quality.

About the Liquidity Cockpit

At big-xyt we take great pride in providing solutions to the complex challenges of data analysis. Navigating in fragmented markets remains a challenge for all participants. We recognise that the investing community needs and expects continued innovation as the volume of data and related complexity continues to increase.

Our Liquidity Cockpit is now recognised as an essential independent tool for exchanges, Sell-side and increasingly Buy-side market participants. Data quality is a key component, as is a robust process for normalisation so that like-for-like comparisons and trends over time have relevance. However, our clients most value a choice of flexible delivery methods which can be via interactive dashboard or direct access to underlying data and analysis through CSV, API or other appropriate mechanism.

For existing clients – Log in to the Liquidity Cockpit.

For everyone else – Please use this link to register your interest in the Liquidity Cockpit.

Share this post