Singapore Exchange (SGX) today said trading costs for large-cap and mid-cap stocks were significantly lower in 2012 than pre-June 2011 levels, following SGX’s initiatives to enhance market liquidity. SGX’s 2012 Securities Market Quality Indicators Report released today also showed price volatility eased during the second half of 2012 and was markedly lower than the first half of the year.
Trading activity
- Traded value was 11% lower in 2012 at a monthly average of $1.25 billion, compared with a monthly average of $1.4 billion in 2011.
- Traded volume was 51% higher at a monthly average of 1.8 billion shares in 2012, compared with a monthly average of 1.2 billion shares in 2011.
Liquidity
- Market depth, the market's ability to take in relatively large market orders without impacting the price of the security, was lower by an average of 12% in 2012 as compared to 2011, as expected with the reduction of minimum bid sizes in July 2011.
- Average number of quotes was higher by 6% in 2012 than in 2011. This could be due to a higher level of interest in the market because trading costs were lower as a result of reduced minimum bid sizes.
- The average number of trades in 2012 was 54% higher than in 2011. Average trade sizes in 2012 ranged between $12,000 and $16,000, lower than the $11,000 to $37,000 range in 2011.
Volatility
- Movements in the daily average price volatility were largely in line with the CBOE Volatility Index[1] in 2012. Compared to 2011, the daily average price in 2012 was 7% less volatile
Trading costs
- The trading costs for large-cap and mid-cap stocks were 47% lower in 2012 compared to pre-June 2011 levels. The enhancements to Singapore’s securities infrastructure and market microstructure in 2011 such as reduced minimum bid sizes appear to have further improved the market for all participants.
To access the Securities Market Quality Indicators Report, please click here.
[1] The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.