Turnover ratio for equities products are continuing to decline in Europe, dropping by 30 to 50 percentage points since 2018 in Q3.
According to AFME’s latest equity primary markets and trading report, in Q3 2024 annualised turnover relative to market capitalisation was 111%, up from H2 2023’s record lows of 100%. Despite the increase, though, this is a marked drop from the 150% levels reported in 2018. Over the last 12 months, turnover ratio has remained for the most part below 120%.
These figures demonstrate a “pronounced deterioration” in market liquidity, AFME stated.
Of the addressable liquidity that is available, 74% comes from on-venue trading according to data from Big Xyt. AFME states that this proportion is in line with results since 2018, with on-venue trading consistently representing more than 70% of addressable liquidity.
In January this year, ESMA implemented the exclusion of more non-price-forming trades from post-trade reporting requirements in an effort to reduce operational costs and limit overreporting.
A similar programme was initiated in the UK in April; according to data from BMLL Vantage, just a month after these changes were introduced the percentage of addressable liquidity in London-listed equities rose by 17.7 percentage points to 71.9%. BMLL suggested that this was due to the removal of special price (non-price-forming-flagged) trades from post-trade reporting.
©Markets Media Europe 2024
