Global ETF News Older than One Year
ECB-High frequency trading and price discovery paper
November 4, 2013--ABSTRACT
We examine empirically the role of high-frequency traders (HFTs) in price discovery and price
efficiency. Based on our methodology, we find overall that HFTs facilitate price efficiency by
trading in the direction of permanent price changes and in the opposite direction of transitory
pricing errors, both on average and on the highest volatility days.
This is done through their liquidity demanding orders. In contrast, HFTs' liquidity supplying orders are adversely selected.
The direction of buying and selling by HFTs predicts price changes over short horizons measured in seconds. The direction of HFTs' trading is correlated with public information, such as macro news announcements, market-wide price movements, and limit order book imbalances.
view the ECB working paper-High Frequency Trading and Price Discovery
Source: ECB
ETFS Precious Metals Weekly-Platinum and Palladium Benefiting From Improving Global Growth Prospects
November 4, 2013--Gold and silver lose ground as USD strengthens. A less dovish than expected statement from the FOMC last week and weak Eurozone inflation data pushed the
US dollar up, putting downward pressure on the prices of gold and silver.
Gold took the brunt of the selling in the precious metals sector as the US dollar rallied in line with rising bond yields. Strong US PMI and auto sales data also assisted the positive cyclical growth mood. Despite silver's fall last week, it has been one of the best performing metals over the past 3-months with a gain of 11% over the period, benefiting from a rebound in industrial demand. In the longer-term, we remain constructive gold, but in the shorter-term it appears likely to remain in a relatively tight trading range; supported by solid physical demand below US$1,300 and constrained by investor selling on rallies near US$1,400.
Source: ETF Securities
BATS Global Markets Announces October Highlights
November 4, 2013--BATS Global Markets (BATS) today reports October market share and activity, which includes U.S. Department of Justice clearance for the BATS-Direct Edge merger, and the launch of BATS Chi-X Europe's pan-European listings business and BXTR pan-European Trade Reporting Service.
BATS' European equities exchange, BATS Chi-X Europe, posted overall market share of 22.9% in October, with a new monthly market share record of 9.6% set in Depositary Receipts (FTSE ROIB), surpassing the previous record of 9.0% set in July 2013.
Source: BATS
Chatfeild-Roberts warns on ETF impact on gold investments
November 1, 2013--The value of gold equities may never reproduce past strong performance due to the impact of exchange-traded funds (ETFs) linked to the precious metal, according to Jupiter's chief investment officer John Chatfeild-Roberts.
Mr Chatfeild-Roberts, who leads the group's Merlin multi-manager range, said gold-related shares had historically been the best proxy for direct investment in gold because their businesses were geared to sentiment toward the metal.
Source: FT Adviser
The Options Industry Council Announces October Options Volume Up 24 Percent
October volume exceeds 400 million contracts, only fourth time in history for monthly volume
November 1, 2013--The Options Industry Council (OIC) announced today that 401,726,200 total options contracts traded in October, which is 23.86 percent more than the previous October when 324,329,913 contracts were traded.
October marks just the fourth time in history total monthly volume exceeded 400 million contracts, and the first time since August 2011. Average daily volume for the month came in at 17,466,356 contracts, up 13.09 percent compared to last October’s 15,444,282 contracts-a month shortened by two trading days due to Super Storm Sandy. Year-to-date volume stood at 3,476,600,927 contracts, 3.60 percent more than the 3,355,815,364 contracts traded in the same period last year.
Source: Options Industry Council (OIC)
Average daily volume of 7.9 million contracts at Eurex Group in October
November 1, 2013-- In October 2013, the international derivatives markets of Eurex Group recorded an average daily volume of 7.9 million contracts (October 2012: 7.6 million). Of those, 5.1 million were Eurex Exchange contracts (October 2012: 5.3 million), and 2.8 million contracts (October 2012: 2.4 million) were traded at the U.S-based International Securities Exchange (ISE).
In total, 117.1 million contracts were traded at Eurex Exchange and 64.2 million at ISE.
At Eurex Exchange, the equity index derivatives segment totaled 52.9 million contracts (October 2012: 54.0 million). The future on the EURO STOXX 50 Index recorded 19.5 million contracts. The options on this blue chip index totaled 21.3 million contracts. Futures on the DAX index recorded 2.0 million contracts while the DAX options reached another 3.3 million contracts.
Source: Eurex
IFSB-IOSCO-SC Collaborate on Disclosure Requirements for Islamic Capital Market Products
October 31, 2013--The Islamic Financial Services Board (IFSB), the International Organization of Securities Commissions (IOSCO) and the Securities Commission Malaysia (SC) are pleased to announce that the joint publication "Disclosure Requirements for Islamic Capital Market Products" was released at the IOSCO 38th Annual Conference in Luxembourg, which took place on 15-19 September 2013.
This publication is a compilation of the Issues Papers and commentaries presented at the IFSB-IOSCO-SC Roundtable on Disclosure Requirements for Islamic Capital Market (ICM) Products, held in Kuala Lumpur in September 2012.
The book discusses the need to develop international regulatory standards and best practices relating to disclosure requirements for ICM products. It analyses the issues, risks and challenges arising from potential inadequate disclosure in the areas of Sukūk and Islamic Collective Investment Schemes, and analyses ways to strengthen disclosure standards for ICM products.
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view the Disclosure Requirements for Islamic Capital Market Products report
Source: IOSCO
DECPG Weekly Brief-Weekly Global Economic Brief
October 31, 2013--Developing-country sovereign default risks recently declined with expectations that the US Fed would maintain its Quantitative Easing (QE) program in the months ahead, but remain highly sensitive to changes in capital flow conditions and exchange rate developments.
Inflationary pressures persist in some regions despite declining food prices, reflecting the lagged effect of past depreciations and supply side constraints in some cases.
Developing countries' exports are recovering, but are so far trailing behind the upturn in industrial activity and confidence.
According to credit default swap contracts (CDS), the implicit probability of sovereign default in developing countries declined from 4 percent early September (220bp spreads), to 3 percent end October (171bp). Spreads are currently 40bp above their 2013Q2 values and 15bp above median levels since 2008. The evolution of default risks is closely tracking expectations regarding the timing of QE tapering. In particular, the close correlation with the USdollar exchange rate since May illustrates the significant impact of US monetary policy on capital flow and external financing conditions for developing countries. Expectations of further delays since the US debt ceiling standoff in October contributed to ebbing default risks across all developing regions, with countries in East Asia among those benefiting most.
In Latin America, concerns regarding more forbearing fiscal rules in Brazil and the bankruptcy of its second largest oil company have somewhat reversed the downward trend. The impact of QE tapering expectations on perceived default risks stresses the need for confidence-building reforms in the months ahead.
Source: World Bank
UNCTAD-Developing and transition economies attain a new record share of global FDI inflows
October 31, 2013--Global inflows of foreign direct investment (FDI) rose by 4 per cent in the first half of 2013 compared to the same period in 2012, with a diverging trend appearing between developing and transition economies on the one hand, and developed countries on the other.
During the first half of 2013, global FDI inflows reached an estimated $745 billion, however flows to developed countries declined.
Nevertheless, this decline was more than offset by a rise in flows to developing and transition economies, which accounted for more than 60 per cent of global FDI flows-a record share.
view the Global Investment Trends Monitor, No. 13, October 2013
Source: UNCTAD
Fundamental review of the trading book- second consultative document issued by the Basel Committee
October 31, 2013--The Basel Committee on Banking Supervision has today issued a second consultative paper on the fundamental review of capital requirements for the trading book.
The paper comprises a detailed set of proposals for a comprehensive revision of the market risk framework. This initiative forms part of the Committee's broader agenda to reform regulatory standards for banks in response to the financial crisis.
The May 2012 consultative paper set out a number of specific measures to improve trading book capital requirements. These initial proposals reflected the Committee's overall objective of designing a new regulatory framework that addresses weaknesses in risk measurement under the current internal models-based and standardised approaches, with a view to promoting consistent implementation across jurisdictions.
Source: BIS
