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New TABB Research Tracks the Impact of Competition under MiFID in Major Index Stocks from 2005 to 2009
Report Shows Average Effective Spreads Declined in 92% of 60 European Equities Measured amidst Competition, IT Upgrades, Tick Size Adjustments, Fragmentation and High Frequency Trading
February 10, 2010--Competition under MiFID is evident in the decline of effective spreads in 60 European stocks across the FTSE 100, DAX 30 and CAC 40 indices over a four-year period, from September 2005 to September 2009.
Based on new research from TABB Group tracking the impact of competition under MiFID, average effective spreads declined in 92% of the European equities measured and in some case, spreads have at least halved.
Miranda Mizen, a principal at TABB Group and author of the TABB Pinpoint report, “Effective Spreads in European Equities,” says competition under MiFID is alive and well evident in the decline of effective spreads over four years in European equities in terms of price differential. She adds that technology upgrades, competition, fragmentation, high frequency trading and tick size adjustments have all contributed to the spread decline. “Two distinct waves are seen, the first in the third quarter of 2007 due to improvements in technology, MiFID’s implementation, high-frequency trading and firms meeting MiFID’s best-execution requirements. There was a second wave in the same quarter a year later, 2008, as competition increased, tick sizes were reduced and algorithmic trading increased.”
Although declining markets have exaggerated the narrowing of spreads, she says, the competitive pressure has been maintained as the European markets recovered after the Lehman Bros. collapse and despite lower trading volumes.
According to Mizen, “It’s usually a close call amongst competing execution venues for the best effective spread, and this has kept the pressure on. At the end of the period measured, the lowest effective spreads are, for the most part, between Chi-X and BATS for UK stocks, and between Chi-X and the main market for CAC 40 and DAX 30 stocks.”
She notes, however, that the correlation between the effective spread and volatility and volume does become less evident as effective spreads narrow under the weight of MiFID competition.
The purpose of the study, a three-step process covering spreads, basis and value, was to document the trend of average effective spreads for each trade over a specific course of time, examining factors that affect the tightness of spreads across multiple venues as well as the cost of liquidity. Using stocks trading since September 2005, TABB used Reuters tick data from the primary market, Chi-X, Turquoise and BATS. Spreads were measured in terms of price differential and results incorporate the up/downward pressure on the spread caused by movement in the share price.
The new Pinpoint report is available now for download by TABB Group Equity Research Alliance clients and pre-qualified media at https://www.tabbgroup.com/Login.aspx. For more information, visit http://www.tabbgroup.com or write to info@tabbgroup.com.
Source: TABB Group
NYSE Euronext European ETF Activity - January 2010
February 10, 2010--European ETF activity highlights for January 2010:
At the end of January, NYSE Euronext had 514 listings of 466 ETFs from 15 issuers. These ETFs cover more than 300 indices exposed to an extended range of assets and strategies (Equity, Fixed Income, Commodities, Short, Leverage, etc…).
In January 2010, the number of ETFs increased by 33.5% compared to end of January 2009. An additional 17 new ETFs have already been listed during the first month of the year.
Both daily average turnover and the daily average number of trades saw an impressive growth in January 2010. On average, daily turnover was at €343.7 million, representing an increase of 30.68% versus December 2009. The daily average number of trades registered and even greater boost from December 2009 to January 2010, increasing from 6 074 to 8 658, or 42.54%. On January 22, ETF trading even reached an all-time high on NYSE Euronext with 15 228 trades. Close to €600 million was exchanged.
At the end of January, the combined Assets Under Management of all ETFs listed on the NYSE Euronext European markets totaled €106 billion, an increase of 38.4% from the €76.6 billion at the end of January 2009.
The combination of the flow of 19 first-class Liquidity Providers, competitive market makers, client orders and our high capacity, low latency technology contributed to a median spread of 29.98 bps of all listed ETFs in January 2010, down from 59.99 bps in January 2009.
NYSE Euronext’s Liquidity Providers program continued to expand as well over the course of January. At the end of the month, 19 Liquidity Providers had a total of 872 liquidity provision agreements, providing firm bid/ask quotes with minimum size and maximum spread requirements for the entire trading session on all ETFs. In January, 51 new LP contracts were added.
Visit www.euronext.com/etf for more information.
Source: NYSE Euronext
ETF Statistics January 2010-London Stock Exchange
February 10, 2010--The ETF Statistics January 2010 of the London Stock Exchange are now available.
view report
Source: London Stock Exchange
ETF Landscape: European DJ STOXX 600 Sector ETF Net Flows, week ending 05-Feb-10
February 10, 2010--ast week saw US$73.2 Mn net outflows from DJ STOXX 600 sector ETFs. The largest sector ETF inflows last week were in Construction & Materials with US$63.8 Mn and Media with US$55.7 Mn while Basic Resources experienced net outflows of US$96.2 Mn.
Year-to-date, Utilities has been the most popular sector with US$187.9 Mn net new assets, followed by Media with US$115.0 Mn net inflows. Basic Resources ETFs have been the least popular with US$146.2 Mn net outflows YTD.
Visit Blackrock for more information
Source: ETF Research and Implementation Strategy Team, Blackrock
Three New ETFs Tracking The CAC 40 Launched On NYSE Euronext By ComStage, A Key Player On Europe’s ETF Market
February 10, 2010--NYSE Euronext today welcomed three new exchange-traded funds (ETFs) in Paris as ComStage launched its ComStage ETFs CAC 40® range. Comstage is a key player in the European ETF market, with today’s launch marking its debut on the Paris market.
* ComStage ETF CAC 40® - ISIN code: LU0419740799 – symbol: Z40
Objective: generate a return for investors that tracks the performance of the CAC 40® index (ISIN FR0003500008). Annual fee: 0.20%.
• ComStage ETF CAC 40® Short TR - ISIN code: LU0419740955 – symbol: Z4S
Objective: generate a return for investors that tracks the performance of the CAC 40® Short index (ISIN QS0011095831). Annual fee: 0.35%.
• ComStage ETF CAC 40® Leverage - code ISIN: LU0419741094 – symbol: Z4L
ComStage ETF CAC 40® Leverage is an ETF on Euronext Paris that replicates the performance of the CAC 40® Leverage index (ISIN QS0011095815). It enables investors to participate in the performance of the CAC 40® Leverage index. Annual fee: 0.30%.
ComStage ETFs are funds that passively replicate their benchmark index. Passively-managed funds offer fees that are significantly lower than for actively-managed funds whose objective is to beat a benchmark index.
In addition to the advantages of passive management, ComStage ETFs thus offer management fees that are among the lowest on the market.
NYSE Euronext now counts 469 ETFs in Europe. Representing 16 issuers, these are linked to over 300 indices and span a wide range of assets and strategies.
Source: NYSE EURONEXT
Online the new Borsa Italiana website
February 10, 2010--The new Borsa Italiana website is now live, with improved navigation, content and graphics.
Navigation is now determined by market, with each section directly accessible from the homepage.
This system offers easy and direct access to the full range of securities listed on Borsa Italiana.
The new website has established a retail investor focus with new content devoted to this audience, including news provided by Ansa, DowJones, Reuters and Message.
A brand new section on international markets has been developed displaying data about indices and constituents of FTSE 100, Nasdaq 100, DAX 30, CAC 40, AEX, BEL 20, PSI20.
The section of the website with feeds for commodities (gold, silver, platinum, and palladium) has also been improved and updated with crude oil feeds coming soon.
The Ethical Finance section has become a “window” for Corporate Social Responsibility, offering listed companies the opportunity to add contents about their own initiatives in the sector.
Two new personalized services for users are also now available:
* The new, free email “Alerting” service, can deliver price information, news, press releases or company news (i.e. internal dealing, researches, corporate actions) into your inbox.
* The Borsa Virtuale service, with a new look and feel, has been added to the community area and new features will be introduced in the next weeks. These include, take profit and stop loss, short selling, tax refund and the possibility to insert orders even when markets are closed. Borsa Virtuale is one of the most advanced tools for simulating the trading available on the web.
Source: Borsa Italiana
The CASAM ETF range is rebranded Amundi ETF
February 10, 2010--Following its operational launch on 1 January 2010, Amundi has renamed its business lines and products in order to provide its institutional clients and external distributors with a strong global brand. As a result, as of 9 February 2010, CASAM ETF has become Amundi ETF.
In line with its strategy, the Amundi ETF range, comprising 78 products, will continue to be supported by three major strengths: competitive prices, quality products and continuous innovation.
The Amundi ETF range is managed by Amundi IS, a 100% subsidiary of the Amundi Group. The range is distributed by a dedicated CA Cheuvreux sales team and by the Amundi sales teams.
Further information on Amundi ETF can be found on the amundietf.com website.
Source: Crédit Agricole
DJ STOXX Benchmark Q1 index review on February 23, 2010
February 9, 2010--STOXX Ltd. will announce results of the first
quarterly review in 2010 of the following indices on February 23, 2010:
Dow Jones STOXX Total Market Index
Dow Jones STOXX Global 1800 Index
Dow Jones STOXX 600 Index
Dow Jones STOXX EU Enlarged Total Market Index
Dow Jones STOXX Eastern Europe Total Market Index
Dow Jones STOXX Eastern Europe 300 Index
Dow Jones STOXX Football Index
Dow Jones STOXX Private Equity 20 Index
Component changes announced during this review will be effective with the opening of the European markets on March 22, 2010.
The selection list for the Dow Jones STOXX 600 Index can be found on the following link: http://www.stoxx.com/news/stoxx_selections.html
The monthly selection list indicates possible changes to the composition of
the Dow Jones STOXX 600 Index at the next quarterly review and also determines
replacements for any stocks deleted from that index due to corporate
actions.
Source:Deutsche Börse
CESR consults on extensions to major shareholding notifications
February 9, 2010--CESR published today a consultation paper on CESR's proposal to extend major shareholding notifications to instruments of similar economic effect to holding shares and entitlements to acquire shares.
view the consultation paper
Source: CESR
Wind potential to put Turkey into top three
February 9, 2010--Turkey could become one of the three biggest wind energy producers in Europe “if certain problems are overcome,” European Wind Energy Association (EWEA) CEO Christian Kjaer has said.
In a conference organized by the Turkish Wind Energy Association (TÜREB) in Ankara on Tuesday, Kjaer spoke about the important role that wind energy can play in solving problems in the energy sector stemming from “an energy crisis, an environmental crisis and a financial crisis.” He added that they hope to increase the share of wind energy in total energy production from 15 percent to 34 percent by 2020.
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Source: Todays Zaman
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