Published On: Fri, Apr 30th, 2010

Highlights of ITGs March Liquidity Barometer For Asia

ITG just released their “Liquidity Barometer” of Asia for March. Here are the highlights.

Japan, the largest developed exchange by market capitalization (Shanghai Stock Exchange is the biggest) continued to benefit from the Arrowhead upgrade in January where spreads fell to around 20bps and trade sizes remained at 300 shares worth JPY600,000 despite lower average daily turnover (US$15.5B). The first 15 minutes and last 15 minutes of the trading day represented around 18% of VWAP.

Hong Kong as both the second largest developed market in Asia by market capitalization and average daily traded value saw a slight increase in spreads to 31bps with an accompanying increase of spread volatility. Average trade size remained at 4 lots (Hong Kong has variable lot sizes) valued at almost HKD60,000. More than 11% of VWAP traded in the last 15 minutes of trading.

Korea, Australia and Taiwan yielded average daily turnovers of almost US$4B (Australia was slightly over $4B). The market cap of Australia, however, is almost double Korea and Taiwan surpassing US$1.5 Trillion. The ASX saw trade sizes squeezed to 270 shares worth AUD1,200 with a slight reduction of spread to 25bps. The VWAP profile was more smoothed than its regional counterparts with a maximum of 7% and minimum of 2% in any 15 minute period. Around 10% of VWAP traded at the open and close.

Korea with 30 shares per trade on average valued at KRW1,100,000 saw spreads increase marginally to 30bps however with slightly less spread volatility. The VWAP profile holds hat a large portion of trading occurs in the morning then in the afternoon.

Taiwan matches trades every 20 seconds so its 10,000 share average trade size (TWD600,000) is somewhat misleading. Spreads at 26bps are both tightening and showing less variance. Like Korea the VWAP profile tends to be skewed to the morning.

Singapore as traditionally the smallest market by daily turnover and consequently widest spreads (65bps) in developed Asia trades around 4500 share on average valued at almost SGD10,500. Both spread and its volatility are trending lower. I think Chi-East will certainly be welcomed to service that upstairs flow. The VWAP profile was volatile with more than 13% traded, in aggregate, during the first and last 15 minutes of the day.

march_Stats

The report it self contains much more information and some great time series charts for each of the markets above. There is also some information about the opening and closing sessions too.

For more information on ITG’s Liquidity Barometer contact info@itg.com

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