Trading technology provider and agency brokerage ITG has launched a new monthly research series examining market structure and liquidity across Asian markets.
ITG’s Asia Pacific Liquidity Barometer provides an indication of liquidity across Japan, Australia, Hong Kong, Singapore, Korea and Taiwan, supported by analysis of average trading costs, market turnover, typical trade size, average bid/ask spreads, auction volumes and intra-day trading profiles.
ITG said the research is designed to give insight into a variety of market structures and trading patterns that affect the costs of execution across the region, so that traders and portfolio managers can better understand how and why trading costs are incurred across the various markets.
According to the August edition of the Liquidity Barometer, Asian markets are continuing to rebuild momentum following last year’s financial crisis and the subsequent lows in January and February, but have seen a slight drop in available liquidity in July. ITG attributes this fall to the gradual northern hemisphere summer slowdown from investors.
In Asia’s larger markets such as Japan and Australia, the research found that the value of a typical trade is still lower than year ago, but that typical order sizes have recovered. This, it claims, shows a renewed appetite for the increasing adoption of dark pools by sales traders and institutional investors.
According to Clare Rowsell, head of client relationship management, ITG Asia Pacific, sourcing liquidity in the Asia-Pacific region is traders’ biggest challenge, and has been made even more complex as the recent crisis has caused average trading costs to soar.
“ITG’s Asia Pacific Liquidity Barometer provides a new source of information and analytics that gives context to trends in market and trading behaviour,” said Rowsell. “Using the same academic and quantitative resources that we apply to the development of our sophisticated trading technology for Asia, we can now provide market microstructure research to better understand the various components that contribute to execution performance and cost.”