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Question of the Week - 19th Jan 2016

How has uncertainty in greece affected the european trading environment?

 

Chart 1:  Annualized Volatility for Greece and Europe (Indexed to 100) 

 

Chart 2:  Spreads in Greece compared to Europe 

  • The Greek economic and political situation presumably had an impact on the rest of the Eurozone. As soon as peer is available (stay tuned!), we’ll be able to quantify that impact on costs, but in the interim, we want to examine trends in volatility and spread (two of the main contributors to transaction costs).
  • Volatility in Greece began rising in Q4 of 2014, with peaks in Q1 and Q3 of 2015. A similar pattern is observed across the constituents of the FTSE Europe ETF, but to a much lesser magnitude.
  • Average spreads for developed Europe constituents remained relatively constant over the course of 2015, while indexed Greek spreads increased by a factor of 4 in Q3 2015.

 

The volatility and spread numbers in the above charts were pulled for the FTSE GREECE 20 ETF(GREK) as well as the FTSE Europe ETF (VGK) which seeks to track the FTSE Developed Europe All Cap Index from 4/1/2013 to 9/30/2015 and indexed to 100. We used 60 day historical volatility and 5 day time weighted average spread.

 

Refer to Equity Related Analytics for information on available Intra-day 5 minutes statistics.

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