• Market Microstructure in Practice with big xyt’s API
European Equities Market Microstructure Survey
Market volumes and fragmentation
trends in European equities
Welcome to our surveys of market volumes and fragmentation trends in European
equities. If you are unfamiliar with the topic, you may want to first read our Microbites series for an explanation of market microstructure.
Trading turnover in European equities posted a new MiFID II era record in Q1, 34% higher than the four year average, as investors reacted to the cocktail of inflationary fears and war. Back in Q1 2020 it felt like we were watching a truly exceptional event but despite lower volatility, the markets managed to deliver something even more unpredictable.
2021 has ended and all that remains are the tea leaves at the bottom of the cup. In our latest annual survey of market volumes and fragmentation trends in European equities, we gaze at the patterns to see how the story unfolded and what we can learn about the year ahead. Another turbulent year for equities globally played out in the daily ebb and flow of over 250 billion quotes, orders and trades, presented to you here in a short pictorial summary.
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. 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.
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.
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.
It hasn’t been a good quarter for the European Equity Market. In nearly every country, we’ve seen record lows for volumes throughout the summer. August delivered the slowest month for trading since the MiFID2 era began in January 2018 and the pattern persisted into September. Although 2020 remains ahead of 2019 in terms of daily turnover, the lead has diminished substantially from 34% in Q1 to 11% in Q3 and may evaporate completely in Q4.
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.
by Richard Hills, big xyt big xyt confirms record equity turnover and changing behaviours during Q1 2020 Recent market volatility has created a domino effect of changing market behaviours as investors struggle to understand changing liquidity patterns. big xyt has received an increasing number of requests from the community for guidance on market quality as the exceptional trading conditions persist. As a result of these enquiries, additional content is being added to the unique Liquidity Cockpit which provides a consolidated view of the European Equity Market landscape.