Asia Pacific Market Structure Chartbook

Transcription

1 Q 6 author Ofir Gefen Managing Director Head of Electronic Brokerage ITG Asia Pacific ofir.gefen@itg.com Heath Mooney Vice President Senior Sales Trader ITG Asia Pacific heath.mooney@itg.com Bobby So Vice President Product Manager Algorithms ITG Asia Pacific bobby.so@itg.com Erin Stanton Managing Director Head of Analytical Products and Research ITG Asia Pacific erin.stanton@itg.com Clare Witts Director Head of Client Relationship Management & Marketing in Asia Pacific clare.witts@itg.com contact Asia Pacific Market Structure Chartbook regional TRENDS In Q 6, most APAC developed markets experienced increases in the average daily value traded compared with Q, while Hong Kong remained relatively flat. However, the amount of liquidity available at the touch was generally lower across all developed markets this quarter, driving large orders deeper into the book and potentially contributing to higher impact costs, as seen in Japan, Australia and Hong Kong (p3). points OF INTEREST BY MARKET Developed AUSTRALIA (p) Higher quarter-on-quarter intraday volatility and spread, with around of daily volume transacted in the closing auction. HONG KONG (p) Ongoing subdued volume, lower intraday volatility with around of daily volume transacted in the closing auction. JAPAN (p6) Spreads trended down, remaining below 7 through the quarter. NEW ZEALAND (p7) Average daily value traded rose significantly through the quarter, peaking in March at above $ million per day. Spreads also trended higher through the quarter. SINGAPORE (p8) The already high spreads rose further this quarter, getting close to 3 in March. Asia Pacific Canada EMEA United States info@itg.com

2 Q 6 Semi Developed KOREA (p9) Intraday volatility dropped in Q compared with Q, while average touch size rose to close to % of daily volume in March. However, Korea continues to see high impact costs in comparison to markets with a similar demand for liquidity. TAIWAN (p) Spreads rose through the quarter, accompanied by growth in the amount of liquidity available at the touch. Emerging CHINA (p) Intraday volatility dropped versus the prior quarter, but spreads rose by more than 3%. INDIA (p) Intraday volatility rose versus Q, although spreads narrowed through Q. INDONESIA (p3) Value traded rose in February and March to a level last seen in May. MALAYSIA (p) Stable compared with previous quarter. PHILIPPINES (p) Value traded rose in Q compared with the last few months of, spreads trended down through the quarter. THAILAND (p6) Value traded rose in Q, with spreads trending down versus the previous quarter. Impact costs for Thailand are high given the relative demand for liquidity (of a mm market portfolio) in comparison to Indonesia and the Philippines. This can partially be explained by the high spreads in Thailand of over. The overall distribution of cost is also much tighter in Thailand while wider distributions in the Philippines and Indonesia can lead to much more varied outcomes.

3 Q 6 3 REGIONAL SUMMARY Expected Impact Costs for a USD million Market-Level Portfolio 3 Demand for Liquidity of a USDmillion Market-Level Portfolio as of Q %MDV Q Q 6 The average order size in New Zealand was large and was therefore removed from this chart for scale purposes. Accumulated Daily Volume Profile Q 6 - Developed Markets % 9% Accumulated Daily Volume Profile Q 6 - Emerging Markets % 9% Accumulated Volume Profile 7% % 3% Accumulated Volume Profile 7% % 3% % % % 3 6 Normalized Time % 3 6 Normalized Time HKG AUS JPN NZL SGP KOR IDN MYS THA TWN PHL IND CHN Market time bins are normalized with lunch breaks excluded

4 Q 6 Developed Markets australia Volume Profile Q 6 - Australia Intraday Volatility Q vs Q 6 - Australia % st quartile 3 3 Q Q Q Q 6 % Market Cap. Weighted Spread by Month - Australia 8 6 Typical Touch Size as a % of Daily Value Traded by Month - Australia.% %.....% Average Daily Value Traded by Month - Australia. Average Market Cap. By Month - Australia

5 Q 6 Developed Markets Hong Kong Volume Profile Q 6 - Hong Kong Intraday Volatility Q vs Q 6 - Hong Kong 9 st quartile 8 7 Q Q Q 6 6 % 6 3 % Market Cap. Weighted Spread by Month - Hong Kong.% Typical Touch Size as a % of Daily Value Traded by Month - Hong Kong.%.%.%.%.% Average Daily Value Traded by Month - Hong Kong Average Market Cap. By Month - Hong Kong

6 Q 6 Developed Markets 6 japan Volume Profile Q 6 - Japan % Intraday Volatility Q vs Q 6 - Japan 7 9% 7% % st quartile 6 3 Q Q Q 6 3% % % 9 Market Cap. Weighted Spread by Month - Japan.7% Typical Touch Size as a % of Daily Value Traded by Month - Japan %..3%..%.% Average Daily Value Traded by Month - Japan 3 Average Market Cap. By Month - Japan

7 Q 6 Developed Markets 7 new zealand Volume Profile Q 6 - New Zealand Intraday Volatility Q vs Q 6 - New Zealand 9 % st quartile Q Q 6 3 % Market Cap. Weighted Spread by Month - New Zealand 3 Typical Touch Size as a % of Daily Value Traded by Month - New Zealand 3% 3% 3 % % % % Average Daily Value Traded by Month - New Zealand Average Market Cap. By Month - New Zealand 3 3 Millions USD 8 6

8 Q 6 Developed Markets 8 singapore Volume Profile Q 6 - Singapore 9% Intraday Volatility Q vs Q 6 - Singapore 7% st quartile 3 3 Q Q 6 % 3% % % Market Cap. Weighted Spread by Month - Singapore Typical Touch Size as a % of Daily Value Traded by Month - Singapore 3 % 3 % Average Daily Value Traded by Month - Singapore. Average Market Cap. By Month - Singapore

9 Q 6 Semi Developed Markets 9 Korea Volume Profile Q 6 - Korea Intraday Volatility Q vs Q 6 - Korea 8 % 7 st quartile 6 3 Q Q Q Q 6 6 % 3 Market Cap. Weighted Spread by Month - Korea. Typical Touch Size as a % of Daily Value Traded by Month - Korea.%.....% Average Daily Value Traded by Month - Korea Average Market Cap. By Month - Korea

10 Q 6 Semi Developed Markets Taiwan Volume Profile Q 6 - Taiwan Intraday Volatility Q vs Q 6 - Taiwan 7 6 % st quartile 3 Q Q Q 6 % 3 Market Cap. Weighted Spread by Month - Taiwan. Typical Touch Size as a % of Daily Value Traded by Month - Taiwan....%.....% Average Daily Value Traded by Month - Taiwan. Average Market Cap. By Month - Taiwan

11 Q 6 Emerging Markets China Volume Profile Q 6 - China Intraday Volatility Q vs Q 6 - China 7 st quartile 6 Q Q 6 % 3 % Market Cap. Weighted Spread by Month - China 6 Typical Touch Size as a % of Daily Value Traded by Month - China %.....% Average Daily Value Traded by Month - China 3 Average Market Cap. By Month - China 3 8 6

12 Q 6 Emerging Markets India Volume Profile Q 6 - India Intraday Volatility Q vs Q 6 - India 9 8 % st quartile 7 6 Q Q Q Q 6 3 % Market Cap. Weighted Spread by Month - India.3% Typical Touch Size as a % of Daily Value Traded by Month - India %.%..% Average Daily Value Traded by Month - India Average Market Cap. By Month - India

13 Q 6 Emerging Markets 3 indonesia Volume Profile Q 6 - Indonesia Intraday Volatility Q vs Q 6 - Indonesia 9 % 8 st quartile Q Q Q 6 % 3 Market Cap. Weighted Spread by Month - Indonesia 3.% Typical Touch Size as a % of Daily Value Traded by Month - Indonesia 3 3.%.%.%.%.%.%.% Average Daily Value Traded by Month - Indonesia. Average Market Cap. By Month - Indonesia

14 Q 6 Emerging Markets Malaysia Volume Profile Q 6 - Malaysia % Intraday Volatility Q vs Q 6 - Malaysia 6 9% 7% % 3% st quartile 3 Q Q 6 % % 3 Market Cap. Weighted Spread by Month - Malaysia 9.% Typical Touch Size as a % of Daily Value Traded by Month - Malaysia 8.% 7.% 6.%.%.% 3.%.%.%.% Average Daily Value Traded by Month - Malaysia.6 Average Market Cap. By Month - Malaysia

15 Q 6 Emerging Markets Philippines Volume Profile Q 6 - Philippines Intraday Volatility Q vs Q 6 - Philippines 6 % st quartile 3 Q Q 6 % Market Cap. Weighted Spread by Month - Philippines. Typical Touch Size as a % of Daily Value Traded by Month - Philippines..%.....% Average Daily Value Traded by Month - Philippines. Average Market Cap. By Month - Philippines

16 Q 6 Emerging Markets 6 Thailand Volume Profile Q 6 - Thailand % Intraday Volatility Q vs Q 6 - Thailand 6 9% 7% st quartile Q Q Q 6 % 3 3% % % Market Cap. Weighted Spread by Month - Thailand 3 Typical Touch Size as a % of Daily Value Traded by Month - Thailand 7.% 6.%.% 3.% 3.%.%.%.% Average Daily Value Traded by Month - Thailand. Average Market Cap. By Month - Thailand

17 Q 6 7 GLOSSARY Expected costs for a USDmm market level portfolio Calculated using ITG s Agency Cost Estimator (ACE) model to estimate the market impact of investing a USD million portfolio in the index of the different countries*. ACE is a pre-trade cost model that estimates transaction costs using an historical framework and is most often used within ITG TCA as a sophisticated measure of order difficulty that accounts for more than just liquidity. The model uses order-specific details, including order size and trading strategy, as well as stock specific market data - specifically -day daily volume, -day time-weighted spread, and 6 day historical volatility - and makes an important assumption of market neutrality. Demand for liquidity of a USDmm market-level portfolio ITG uses a - day daily volume to calculate the demand of liquidity for any given order size. Volume Profile Median average of value traded in the index during the quarter, per -ute time bin. Intraday Volatility Quarterly market cap.-weighted calculation of change in total value of the index, per -ute time bin. Market Cap. Weighted Spread Market cap.-weighted bid-ask spread of the index. Shows range of mean, and levels. Typical Touch Size as a % of Daily Value Traded Total bid and ask size as percentage of daily volume of all stocks in the market, turnover weighted. Average Daily Value Traded Quarterly mean average daily value traded in the market. Average Market Cap Mean quarterly average market capitalization (calculated based on close price) * COUNTRY INDICES USED FOR ANALYSIS: AUS ASX KOR KOSPI CHN Shanghai Shenzhen CSI 3 MYS Kuala Lumpur Composite Index HKG HSCI NZL NZX Index Gross IDN Jakarta LQ PHI PSEi Index IND NIFTY SGP Straits Times JPN TOPIX THA Thailand SET Index 6 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or retransmitted without permission These materials are for informational purposes only, and are not intended to be used for trading or investment purposes or as an offer to sell or the solicitation of an offer to buy any security or financial product. The information contained herein has been taken from trade and statistical services and other sources we deem reliable but we do not represent that such information is accurate or complete and it should not be relied upon as such. No guarantee or warranty is made as to the reasonableness of the assumptions or the accuracy of the models or market data used by ITG or the actual results that may be achieved. These materials do not provide any form of advice (investment, tax or legal). ITG Inc. is not a registered investment adviser and does not provide investment advice or recommendations to buy or sell securities, to hire any investment adviser or to pursue any investment or trading strategy. All trademarks, service marks, and trade names not owned by ITG are the property of their respective owners. The positions taken in this document reflect the judgment of the individual author(s) and are not necessarily those of ITG. Broker-dealer products and services are offered by: in the U.S., ITG Inc., member FINRA, SIPC; in Canada, ITG Canada Corp., member Canadian Investor Protection Fund ( CIPF ) and Investment Industry Regulatory Organization of Canada ( IIROC ); in Europe, Investment Technology Group Limited, registered in Ireland No. 839 ( ITGL ) and/or Investment Technology Group Europe Limited, registered in Ireland No ( ITGEL ) (the registered office of ITGL and ITGEL is First Floor, Block A, Georges Quay, Dublin, Ireland and ITGL is a member of the London Stock Exchange, Euronext and Deutsche Börse). ITGL and ITGEL are authorised and regulated by the Central Bank of Ireland; in Asia, ITG Hong Kong Limited, licensed with the SFC (License No. AHD8), ITG Singapore Pte Limited (CMS Licence No. 38-), and ITG Australia Limited (AFS License No. 98). All of the above entities are subsidiaries of Investment Technology Group, Inc. MATCH NowSM is a product offering of TriAct Canada Marketplace LP ( TriAct ), member CIPF and IIROC. TriAct is a wholly owned subsidiary of ITG Canada Corp.