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QOTW (Oct 11th 2016): How much volume trades during opening and closing auctions for popular retail stocks in APAC?

How much volume trades during opening and closing auctions for popular retail stocks in APAC?

 

Chart 1: Percent of Daily Volume Traded During the Open Auction for Australia

Chart 2: Percent of Daily Volume Traded During the Close Auction for Australia

Chart 3: Percent of Daily Volume Traded During the Open Auction for Japan

Chart 4: Percent of Daily Volume Traded During the Close Auction for Japan

  • Opening and closing auctions represent a large proportion of overall volume in the U.S., as we’ve shown in prior posts. Here, we dig into the auction volumes in Japan and Australia, focusing on four high volume stocks in each country along with large cap stocks in aggregate to determine how widely used auctions are in these markets.
  • In Australia, opening auction volume for large cap stocks has declined slightly since 2012, from around 3% of daily volume to under 2.5% of daily volume. Closing auction volumes over this time period grew dramatically in popularity, from 10% to 14% of daily volume. The four high volume stocks we examined exhibited a similar MOC volume increase while MOO volumes for these stocks grew over time.
  • Aggregate large cap auction volumes in Japan experienced moderate declines in MOO volume since 2010 while MOC volume increased over the same period. The four stocks we studied had similar MOO and MOC volume when compared to other large cap stocks.
  • The opening auction in Japan represents a larger proportion of daily volume than we’ve observed in other markets – around 4% daily volume in 2016.

 

Average percentage of daily volume is calculated by dividing auction volumes by the total volume for the stock for that day and averaging these percentages across the period. The “Large Cap” universe for Australia includes all listed Australian stocks above $5 billion AUD and for Japan includes all lsited Japanese stocks above ¥500 billion market capitalizations, respectively. Y2016 period covers Q1 and Q2 of 2016.

 

Refer to Equity Related Analytics for information on available Equity Related Analytics.

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