Question of the Week - 2nd Feb 2016

How have trading patterns around the close changed recently in asia pacific markets?


Chart 1:  Average Proportion of Volume Traded During the Last Half Hour of the Day 


Chart 2:  Average Proportion of Volume Traded During the Last Half Hour of the Day by Month 

  • Locating liquidity is a perpetual challenge for traders looking to execute large orders. Traders have expressed opinions about shifting volume profiles in Asian markets in recent months and we quantify here how volume leading into the close has increased in many major markets.
  • In China, Hong Kong and Korea, we note a significant drop in percent daily volume traded in the last thirty minutes of continuous trading in Q2 2015 compared to Q1 2015, before volumes rebound in the second half of the year.
  • All markets, with the exception of Australia, showed increasing volumes leading into the close after July 2015.


Volume in the last half hour before the close as a percent of daily volume was calculated for each stock and day and aggregated to a monthly average. Dollar volumes were calculated by multiplying shares and the average price over five minute intervals.


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

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