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Question of the Week - May 3rd 2016

How do intraday volume patterns vary across Asia Pacific markets?

 

Chart 1: Average Cumulative Daily Volume in Developed Markets 

 

Chart 2: Average Cumulative Daily Volume in Emerging Markets 

 

  • Understanding a market’s typical volume profile is critical when executing orders strategically. We examine cumulative volume patterns across Asia Pacific markets and demonstrate significant differences in liquidity throughout the day within the region. Trading strategies should be selected by market to maximize liquidity throughout the day, taking into account large open and close auction volumes in some markets.
  • Intraday volume profiles vary significantly by APAC market with some completing 60% of daily volume by halfway through their trading day, with others only completing approximately 30% in that time.
  • “Morning heavy” markets with more than 50% of volume done by the trading day mid-point include Korea (58%), Taiwan (57%), and China (57%).
  • “Afternoon heavy” markets with less than 40% of volume done by mid-point include New Zealand (33%) and Malaysia (34%).
  • • For further information on APAC volume profiles and auction patterns please see our APAC Market Structure  Chartbook

 

Q1 2016 data was sourced from ITG’s 5 Minute Bin Intraday Data products..

 

Refer to ITG Equity Related Analytics for information on available 5 minute bin based intra-day statistics.

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