Singapore Exchange (SGX) today issued its second edition of the Securities Market Quality Indicators Report. The 12- month period from July 2011 – June 2012 saw trading costs decrease substantially for large, mid and small- cap stocks while the average daily number of trades and quotes increased for the overall market, a likely result of SGX’s initiatives, including the reduction of minimum bid sizes. There was a general decline in traded value in the Singapore stock market throughout the year but trading volume increased significantly in the first four months of 2012, indicating a focus on penny stock trading during this time.
- Daily traded value halved in the last two quarters of 2011 from over $1.9 billion in August 2011 to $0.8 billion in December 2011. An improvement in the market’s traded value during the first quarter of 2012 was followed by a decline during the second quarter.
- Daily traded volume also fell in the last two quarters of 2011. This was followed by a significant increase in volumes during the first four months of 2012, peaking at over 2.9 billion shares in April 2012.
- January and February of 2012 was marked by a strengthening of trading activity for all categories, with mid- cap and small- cap stocks recovering all its losses in traded value over the previous five months.
- Trading activity slowed for large- cap and mid- cap stocks in the second quarter of 2012 amid renewed fears of the Eurozone sovereign debt crisis and an easing of China’s expansion. Volumes for small- cap stocks, however, remained at levels significantly higher than the July to December 2011 period.
- The market depth of large- cap stocks remained at reduced levels from August to December 2011, amid increased global market uncertainties. Following a temporary improvement during the subsequent two months, depth levels declined in the months leading up to June 2012.
- The market depth of mid- cap stocks was also sustained at lower levels in the last five months of 2011. Depth levels recovered slightly in the first two months of 2012, before declining from March to April 2011.
- The average quote/execution ratio decreased by 32 percent from a peak of 3.4 between July and August 2011, and remained stable at 1.9 for the rest of the year. This means that for every 190 quotes, 100 result in trades, compared to 340 quotes previously.
- Significant changes in trading activity took place in the months following July and August 2011, when minimum tick sizes were reduced for securities and SGX’s Reach trading engine was implemented respectively. Average daily total trades in the August 2011 to June 2012 period were generally sustained at levels twice the average number of trades transacted in the first- half of 2011. Furthermore, there was a permanent reduction of approximately $20,000 in average trade size during this period.
- Price volatility spiked in August 2011 amid extreme market uncertainty and subsequently declined in the following months.
- Daily average price volatility rose sharply in August 2011 amid greater uncertainty in the global markets arising from S&P’s downgrade of the US’ sovereign credit rating. In the following months leading up to the end of the year, there was an easing of volatility levels, before volatility picked up again early 2012. Movements in the daily average price volatility were largely in line with the CBOE Volatility Index (VIX) over the 12 months.
- In line with the broad market, daily average price volatility spiked significantly in mid- August 2011 for all three categories of stocks. Subsequently, price volatility stabilised from early November 2011 and by June 2012 had reverted to pre- August 2011 levels.
- Price impact costs decreased substantially over the twelve months for large, mid and small- cap stocks, a likely result of initiatives such as the reduction of minimum bid sizes.
- The value/volume ratio declined sharply from August 2011 to April 2012, indicating that the focus of trading moved to penny stocks during this time.
- The decline in trading costs for large and mid- cap stocks after June 2011 is a likely result of market liquidity enhancing initiatives such as the changes to minimum bid sizes in July 2011. In June 2012, there was a further sharp decline in price impact cost across all size categories, despite lower volumes.
To access the Securities Market Quality Indicators Report, please see http://www.sgx.com/wps/wcm/connect/b2caaa004c4245a3a307f76ec66c3aa8/
 The CBOE Volatility Index(R) (VIX(R)) is a key measure of market expectations of near- term volatility conveyed by S&P 500 stock index option prices.
About Singapore Exchange (SGX)
Singapore Exchange (SGX) is the Asian Gateway, connecting investors in search of Asian growth to corporate issuers in search of global capital. SGX represents the premier access point for managing Asian capital and investment exposure, and is Asia’s most internationalised exchange with more than 40 percent of companies listed on SGX originating outside of Singapore. SGX offers its clients the world’s biggest offshore market for Asian equity futures market, centred on Asia’s three largest economies – China, India and Japan.
In addition to offering a fully integrated value chain from trading and clearing, to settlement and depository services, SGX is also Asia’s pioneering central clearinghouse. Headquartered in Asia’s most globalised city, and centred within the AAA strength and stability of Singapore’s island nation, SGX is a peerless Asian counterparty for the clearing of financial and commodity products. For more information, please visitwww.sgx.com.
Tel: +65 6236 8139
Tel: +65 6236 8658