Published On: Sat, Jun 5th, 2010

Highlights of ITGs May Liquidity Barometer For Asia

ITG recently released their “Liquidity Barometer” of Asia for May. Here are the highlights.

ITG reported that both volume and liquidity increased in April with subsequnet marginal tightening of spreads in developed Asia (Australia, Hong Kong, Japan, Korea, Singapore, Taiwan). Average transaction costs across the zone dipped 1bps in April to 46bps.

It cost 31bps to trade Australia, 39bps in Japan, 42 bps on the SGX, 45 bps on the ASX, 52bps to execute in Korea and 56bps in Hong Kong. Quarter over quarter the cost of trading fell in Asia except for Japan but bare in mind only April data was available for the comparison.

On a country by country basis this is what was reported

Japan
Arrowhead continues to prove its worth. Trading volumes increased with the average daily turnover rising by 18% month over month to US$18 billion. Trade sizes remained at 300 shares with spread volatility decreasing and spreads costing around 20bps.

Hong Kong
Hong Kong saw turnover leap 20% in April with a daily average of US$7 billion and trade sizes remained at 4 lots (Hong Kong lot sizes vary by price). Despite the increased volume spreads increased to 30 bps but were accompanied by a tighter spread volatility. More than 20% of ADV trades in the first last 15 minutes of the day in aggregate.

Australia
Turnover also increased in April up 10% yielding a daily average of US$4.4 Billion. Typical trade size actually rose to 311 shares. The ASX trades in 1 share lots. Spreads remained at 25 bps albeit with slightly lower standard deviation. The opening and closing sessions together comprise almost 12% of ADV

Singapore
Average daily turnover exceeded US$1.1 Billion, the first time in three months, up 27% in April. Volatility still remains in developed Asia’s most expensive and illiquid market with trade sizes varying between 4000 and 5000 shares and average spreads leaping by 17% to 76 bps. Spread volatility also increased and was the highest since Oct 2009.

Korea
Korea’s equity market saw a daily average of US$6.7 Billion change hands up 15% with trade sizes as low as 20 shares. The KSE trades in 10 share lots below KRW100,000 and 1 share lots above. Spreads compressed to 28 bps with standard deviation remaining low. It should be interesting to see what happens next month in light of the North Korea saber rattling.

Taiwan
Taiwan also saw turnover increase; up 24% in April. Average daily trading was valued at around US$4.8 Billion. The TWSE matches orders every 20 seconds (this is going to change in Q4) and saw trade sizes increase to around 12,000 shares. Spreads increased slightly to 27 bps despite the volume increase but volatility remained low.

The report it self contains much more information including VWAP profiles and auction volume profiles by market.

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

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