Global Markets Handbook - Edge

Transcription

Global Equity Markets Handbook
Summary
Market Themes
This section is a compilation of reports
recently published by Credit Suisse’s Portfolio
Strategy Team. Please contact your sales
representative or a member of the Portfolio
Strategy Team for further details.
Volatile Times
The past two years have been characterized
by extreme levels of volatility. Falling housing
prices, the global financial crisis, the 2009
rally, the flash crash, and the European
sovereign debt crisis have all contributed to
a turbulent investment environment.
Regulation Reigns
As a result of the financial turmoil, regulators
in the US have greatly increased their
involvement in the market. From the modified
uptick rule for short selling to the Dodd-Frank
Wall Street Reform and Consumer Protection
Act, US financial markets have become the
object of a great deal of reform. Europe is
a similar story: in addition to consulting on
refinements to the Markets in Financial
Instruments Directive (MiFID), regulators have
been concerning themselves with short selling,
high frequency trading, sponsored access,
co-location, fee structures and tick sizes.
The Fragmentation Trend Marches On
Liquidity fragmentation continues to grow
throughout the world, particularly in the US
and Europe. The NYSE now only accounts
for 26% of total volume traded in US
stocks. In Europe, almost 30% of value
traded is executed away from the primary
exchange. This compares to just over 10%
of traded value for 2008.
Market Characteristics
This section considers a range of market
characteristics, including:
- Changes in regional weightings over time
- Bid-ask spreads
- Value traded versus free float market cap
- Beta exposures by country
- Market returns
What Drives Spreads?
The financial crisis caused bid-ask spreads
in some markets to more than double.
Over time, however, spreads have reverted.
In addition to highlighting the behavior
of spreads over time, we examine the
relationship between spreads and average
volume. We find that while the relationship
is reasonably strong in developed markets
it is less so in emerging markets.
Emerging Markets Lead Performance
Index returns over the last three years do
not make for pleasant reading. Of the
countries in the MSCI All Country World
Index, only a handful of emerging
markets have registered positive returns.
The others are mostly down at least
10%, with several down more than
50%. One-year returns on the other
hand are somewhat more uplifting.
Nearly all markets are up strongly
with emerging markets leading the way.
Exchange details
This section provides details on market
hours, settlement cycles and taxes and
fees for all major markets. Please visit the
Market Guide section of EDGE (creditsuisse.com/edge) for real-time updates.
MARKET THEMES
MARKET THEMES
A Decade of Volatility.................................... 2
US.................................................................. 3
Which Times Are Best for Trading?............... 4
Block Trading Retains Importance................. 6
Recent US Regulatory Reactions................... 8
Europe .......................................................... 9
MiFID II: Hail CESR!..................................... 12
Asia.............................................................. 14
A Decade of Volatility
Figure 1: Volatility Indices for the US and Europe
100
Greece Debt Crisis
90
Dot-com Bubble Bursts
Global Financial Crisis
80
September Attack in US
70
J.P. Morgan Acquires
60
Bear Stearns
50
40
30
20
10
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
US (VIX)
Europe (V2X)
Source: Credit Suisse Portfolio Strategy Group, Jan 3, 2000 – Jul 30, 2010
As shown in Figure 1, the events of the past decade have led to a series of extreme
spikes in volatility, with the 2008 global financial crisis foremost among these.
Timeline of a Wall Street Meltdown: The Hits Keep Coming
Monday, Sep 15
• Lehman Brothers declares bankruptcy
• Merrill Lynch merges with Bank of America
Tuesday, Sep 16
• AIG, the world’s largest credit default swap counterparty, faces a severe liquidity
crisis with the potential to bring down the massive credit market
Wednesday, Sep 17
• Fed officially steps in to take control of AIG; markets swoon as they anticipate
further failures
Thursday, Sep 18
• Fed injects additional $105bn in temporary reserves, initiating a much-needed
mid-day rally
Friday, Sep 19
• SEC bans naked short selling
• Treasury proposes $700bn plan to bail out troubled assets and shore up banks’
balance sheets
Monday, Sep 22
• Morgan Stanley and Goldman Sachs convert their investment banks to bank
holding companies over the weekend, thereby subjecting themselves to
Federal regulation
• Japanese bank Tokyo-Mitsubishi UFJ provides a capital infusion for
Morgan Stanley
Wednesday, Sep 24
• Billionaire investor Warren Buffett buys preferred shares in Goldman Sachs,
offering a vote of confidence in the battered financial sector
Portfolio Strategy
Friday, Sep 26
• J.P. Morgan acquires Washington Mutual, which had nearly $200bn in deposits.
Nevertheless, stocks gain slightly on optimism that congress would reach a
resolution on the bailout plan
Monday, Sep 29
• S&P has worst day since Black Monday, dropping almost 9% as the House of
Representatives rejects Congress’s bailout plan
Tuesday, Sep 30
• Market follows up with biggest one-day gain since July 2002 on renewed
expectations that the bailout plan would be salvaged, further evidence of the
extreme volatility whipsawing the market
Wednesday, Oct 1
• Buffett places another vote of confidence, this time investing $3bn in GE but
stocks fail to reverse their protracted slide
Friday, Oct 3
• After long negotiations, Congress approves the troubled asset bailout plan
• Wachovia agrees to be acquired by Wells Fargo, reversing an earlier agreement
with Citigroup
Tuesday, Oct 7
• S&P falls 6%, dropping below the psychological price level of 1000
Wednesday, Oct 8
• Temporary restriction on short selling is lifted at 23:59, effective for the next
day’s trading session
US
700
180%
160%
Value Traded ($bn)
600
140%
500
120%
400
100%
300
80%
60%
200
40%
100
20%
0
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Value Traded
Average
0%
Performance (base date = Jan 2, 1998)
Figure 2: Changes in US Value Traded
S&P 500 perf.
Source: Credit Suisse Portfolio Strategy Group, Jan 2, 1998
– Sep 3, 2010
Figure 3:Market Share (In Terms of
Shares Traded) by Venue
100%
NYSE ARCA
60%
NASDAQ
40%
FINRA TRF
20%
NYSE ARCA
NASDAQ
FINRA TRF
PHLX
BATS
NSX
ISE
CHX
CBOE
Nasdaq BX
AMEX
May-10
Jan-10
NYSE
– May 28, 2010
Mar-10
Nov-09
Jul-09
Sept-09
Jan-09
Mar-09
Nov-08
Jul-08
Sept-08
May-08
Jan-08
Mar-08
Nov-07
Jul-07
Sept-07
Mar-07
May-07
Jan-07
May-09
BATS
0%
Average daily value traded was $250bn in
Q2 2010. This represents a 20% increase
over 2009’s average but, in line with the
performance of the S&P 500, is 16%
down versus the 2008 peak of $300bn.
As one would expect, value traded is
closely tied to volatility levels. As markets
went awry in mid 2007 to early 2009,
value traded rose to unprecedented levels.
NYSE Market Share Continues
to Shrink
NYSE
80%
Volatility Drives Changes in Value Traded
Liquidity fragmentation in the US continues
to grow. As of May 2010 the NYSE
accounted for only 26% of total volume
traded in US stocks. FINRA TRF (which
captures trades executed away from
exchanges) and BATS have experienced
the largest increases in market share.
Portfolio Strategy
Figure 4: Average Trade Size in US
Trade Sizes Reach a Floor
An increasingly fragmented market place
and the rise of algorithmic trading has led
to a dramatic decline in average trade sizes
over the past eight years, particularly in
large caps. However, as shown in Figure 4,
a floor appears to have been reached at
around 200 shares.
1,400
No. of shares per trade
1,200
1,000
800
600
400
200
0
Jan-02
Jan-03
Jan-04
Large Cap
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Small Cap
Source: Credit Suisse AES® Analysis, Jan 2, 2002 – Jul 7, 2010
Which Times Are Best
for Trading?
Many traders intuitively know that liquidity
tends to follow distinct patterns. Here,
we quantify these patterns at various time
horizons: intraday, around month-end, and
seasonally. For more detailed information
please see our report Show Me the
Liquidity! – December 2009.
Seasonally: Wall Street Goes on
Holiday, Too
Figure 5:Weekly Volume/$Value Relative
to Year’s Average
175%
150%
125%
100%
75%
50%
25%
Jul
Aug
US
Sep
Oct
Europe
Nov
Dec
Jan
Feb
Mar
Apr
May
Asia
Source: Credit Suisse AES® Analysis, Jan 2006 – Dec 2009
Jun
The data show that Wall Street goes on
holiday en masse at the end of December.
By analyzing global liquidity for the past
three years (using share volumes in the
US and dollar value traded in Europe and
Asia), we compared each week to the
year’s average. We found that:
• In the US and Asia, liquidity at the end
of the year, specifically from Christmas
to New Year’s, is around 40% lower
than the average for the entire year.
• In Europe, year-end liquidity drops
by 70%.
• According to the data, the period with
the highest volume in the US is late
November, but this is largely influenced
by the extreme volumes in the 2008
credit crisis at that time.
Portfolio Strategy
Figure 6:Average Volume Relative to the
Rest of the Month
Figure 7:Liquidity by Day of the Week
and Region
3%
1.1
2%
1%
1.0
0%
-1%
-2%
0.9
-3%
-4%
-5%
-5
-4
-3
-2
Month
End
1st
2nd
3rd
4th
5th
0.8
US
Monday
Europe
Tuesday
Wednesday
Asia
Thursday
Friday
Source: Credit Suisse AES® Analysis, Jan 3, 2006 – Nov 2, 2009
Source: Credit Suisse AES® Analysis, Jan 2006 – Dec 2009
Monthly: Months End With a Bang
Not surprising to most, as the month winds
down it seems that many funds also wind
down their trading, organizing their books
and preparing for the turn of the month.
As a result, the four days leading up to
month-end are especially quiet, building
up to the last trading day, when volumes
increase by around 6% relative to the prior
four days (Figure 6).
This spark in activity may be attributed
both to month-end “window dressing”
– which is often required in order to bring
portfolio exposures in line with a fund’s
investment policy – and the fact that many
retirement plans often automatically deposit
fresh funds at the end of the month.
Weekly: Liquidity Up Towards End
of Week
What about liquidity during the week?
Is it better on some days than others?
The answer is, interestingly, yes. We find
that volumes tend to increase through the
week: lowest on Monday and peaking on
Thursday in the US and Asia and on Friday
in Europe (Figure 7).
• In both Europe and Asia, average
liquidity on Monday was consistently
substantially lower than the rest of the
week. This may be attributed to the fact
that US traders, who can contribute
significant volume, are still asleep.
• Activity then picks up significantly and
builds through the week, as the liquidity
baton is passed around the globe in turn.
• Mid-week rebalancing in the US on
Wednesday seems to be the catalyst
that really gets things going. It influences
trading on Thursday – first in Asia,
followed by Europe and the US – then
spills over into Friday in Asia and Europe.
• When the US opens on Friday, US
traders, who seem to be setting the
tone, are winding down for the weekend.
Portfolio Strategy
Block Trading Retains
Importance
600
1500
500
1250
400
1000
300
750
200
500
100
250
0
Jan-02
Jan-03
Value Traded
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Average Trade Size (shares)
Value Traded ($bn)
Figure 8:Average Trade Size vs.
Value Traded
0
Avg. Trade Size
Source: Credit Suisse AES Analysis, Jan 2, 2002 – Dec 31, 2009
®
Only a few short years ago, when you
wanted to trade, you went to the NYSE.
Whether you wanted to trade 100 or
1 million shares, it all happened on
the NYSE (Long Live the Block Trade!
– January 2010).
Then, key regulatory changes such as
the introduction of Reg ATS in 1998,
decimalization in 2001, and Reg NMS
in 2005 ushered in a series of changes
and opened the door for dark pools to
proliferate. Traders were attracted by these
new dark pools, as these venues helped
them to minimize market impact and
signaling risk.
In addition, sophisticated algorithms and
smart order routers are able to figure out
how to take a larger order and divide it
up into smaller chunks which can then
be sent independently to different trading
venues. This theoretically allows each
smaller order to attain better execution
than a single large order could, and has
caused the average size of a printed trade
to decrease substantially while increasing
trading activity.
Given these changes (the fragmentation
of trading venues, the introduction of dark
pools, the growth of algorithmic trading)
some wonder if it is even possible to print
a large block like in the not-so-old days
without exposing oneself to undue risk.
Portfolio Strategy
The Role of the Broker
Blocks still serve the all-important function
of being able to move a large number of
shares in a single deal. However, it seems
that the key facilitator has shifted from the
floor specialists to the broker’s salestrading
desk. Despite the new trading landscape,
an experienced broker can still effectively
facilitate a block trade.
Is Block Trading Dead?
100
80
60
40
20
100K+
Jul-10
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
0
Number of prints at least 1 million+ shares
2000
1800
1600
1400
1200
1000
800
600
400
200
0
Jan-05
Number of prints at least 100K+ shares
Figure 9:Number of Block Prints
1 million+
Source: Credit Suisse AES® Analysis, Jan 31, 2005 – Aug 11, 2010
100K+ blocks
Ratio for blocks at least 1million+ shares
Jul-10
Jan-10
0%
Jul-09
0%
Jan-09
1%
Jul-08
2%
Jan-08
2%
Jul-07
4%
Jan-07
3%
Jul-06
6%
Jan-06
Ratio for blocks at least 100K+ shares
Figure 10:Shares Traded in Blocks/
Total Shares Traded
1mil+ blocks
Source: Credit Suisse AES® Analysis, Jan 31, 2006 – Aug 11, 2010
The number of block trade executions has
gone up over time. Figure 9 shows the
number of block trade prints over the past
five years. We observe a clear long-term
increasing trend in block trades. Note that
the dip in December 2008 is not surprising
given the typical seasonal holiday slow-down.
As a portion of overall trading volume we
find that block trades were less favored
through the financial crisis in 2008, with
the extreme uncertainty making it riskier
to move large positions at once. However,
blocks regained their share in 2010 and
actually returned to their former level of
prominence enjoyed since the start of
2008 with blocks of at least 100K shares
accounting for around 4% of all volume
and blocks of at least 1million shares
worth nearly 1%. More importantly, prior to
the last two years, the popularity of blocks
seems to have held steady along with the
general rise in trading activity.
Portfolio Strategy
Recent US Regulatory
Reactions
It All Started With a Crisis
In September 2008, the Securities and
Exchange Commission (SEC) capped off
a week of unprecedented volumes and
volatility as Wall Street was rocked by
a Lehman Brothers bankruptcy, a near
collapse of the entire credit market by
virtue of AIG’s diminishing capital base, the
merger of behemoth Bank of America with
investment bank Merrill Lynch, a proposed
$700bn taxpayer-funded government
bailout of “troubled assets”, billions of
dollars of liquidity injections by central
banks around the world, and a temporary
curbing of the practice of short selling
entirely in almost 1000 securities – even
if the seller could find the stock to borrow.
That fateful week set in motion what would
become nothing less than the complete
overhaul of financial regulation throughout
the world.
As popular outrage mounted, the SEC
responded to cries to bring back the
uptick rule (repealed in July 2007) with
a modified uptick rule which was first
proposed in April 2009 and finally passed
in February 2010 (for further details
please see SEC Ups the Bid to Restrain
Short Selling – February 2010). Since then,
lawmakers have been busy introducing
legislation, trying to deflect blame for the
upheaval of the past few years, and address
popular distrust of the financial community.
US Congress Acts
After much fanfare, the US Congress
finally passed the Dodd-Frank Wall Street
Reform and Consumer Protection Act on
July 21, 2010. This sweeping bill touches
nearly every aspect of the financial system,
Portfolio Strategy
attempting to tighten up the existing
regulatory framework and prevent future
financial crises. Included in the act are
measures that:
• Establish a systemic risk regulator;
• Enhance consumer and investor
protections;
• Improve transparency of derivatives
markets by mandating exchange trading
and central clearing;
• Clarify oversight of banking companies,
credit ratings agencies, and insurance
companies;
• Impose new capital and disclosure
requirements for many financial institutions;
• Require hedge fund/private equity fund
registration;
• Create arrangements for orderly
bankruptcies, ending the “too big to fail”
mantra.
SEC Also Stays Busy
Not to be outdone by Congress, the SEC
also ramped up its activity. Following the
short sell restrictions, the SEC undertook
a broad review of the entire equity market
structure (SEC Concept Release: The
Cliff’s Notes Version – February 2010).
Unlike Congress, the SEC must subject all
proposals to a public comment period, and
many rules are currently in that stage or
awaiting action. Among them are measures
to enhance trade reporting and provide fair
market access.
More recently, in response to the May 6
Flash Crash, the US exchanges and
FINRA moved to introduce industry-wide
circuit breakers that would halt trading in
individual stocks following extreme price
moves (The Circuit Breaker Twofer –
November 2010).
Europe
Liquidity Picks Up Again
70
120%
60
100%
50
80%
40
60%
30
40%
20
10
20%
0
0%
Jun-10
Mar-10
Nov-09
Jul-09
Median
Mar-09
Nov-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Jan-07
Value Traded
Value Traded (€bn)
Figure 11:Changes in Eurozone Value
Traded
SXXE perf.
– Aug 31, 2010
25
120%
20
100%
80%
15
60%
10
40%
5
20%
0
0%
Jun-10
Mar-10
Nov-09
Jul-09
Median
Mar-09
Nov-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Jan-07
Value Traded
Value Traded (£bn)
Figure 12:Changes in UK Value Traded
Median daily value traded in STOXX 600
euro zone stocks stands at €14.8bn in
2010. This represents a 33% rise over the
same period in 2009 (Figure 11). Since
the market is up only 12%, the increase
in value traded is being driven by greater
trading volume. The same can be said of
UK stocks (Figure 12) where median daily
value traded was up 25.8% during 2009
versus a 17% increase in the FTSE 100
for the same period.
FTSE 100 perf.
– Aug 31, 2010
20%
10%
0%
-10%
-20%
-30%
-40%
STOXX Large
STOXX Mid
STOXX Small
– Aug 6, 2010
Jul-10
Apr-10
Oct-09
Jan-10
Jul-09
Apr-09
Jan-09
Oct-08
Jul-08
Apr-08
-50%
Jan-08
Change in % of total value traded
Figure 13:% Change in Value Traded by
Market Cap Segment
Small Caps Lose Market Share
As shown in Figure 13, the mix in value
traded between large, mid and small cap
stocks has changed significantly over
the last three years. At the beginning of
2008 trading in small caps accounted for
12.0% of total value traded in Europe.
As of August 2010 its share has fallen to
8.5% (down 28.5%) versus a 6.2% rise
in large cap trading and a 7.2% decline in
mid cap trading. This is despite small caps
outperforming large caps, and could be
linked to high frequency traders focusing
on more liquid large caps.
Portfolio Strategy
Spreads Revert as Volatility Dampens
Figure 14:Bid-Ask Spreads vs. Volatility
30
100
90
25
80
70
bps
20
60
15
50
40
10
The financial crisis caused bid-ask spreads
in some markets to more than double.
As volatility has dampened, spreads have
reverted to their previous levels.
30
20
5
10
0
Nov-07
Feb-08
Jun-08
EUROSTOXX 50
Oct-08
Jan-09
May-09
FTSE 100 INDEX
Sep-09
Jan-10
Jun-10
0
VSTOXX(RHS)
Source: Credit Suisse AES® Analysis, Nov 1, 2007 – Aug 25, 2010
Figure 15:STOXX 50 Liquidity
Fragmentation by Venue
35%
30%
25%
20%
15%
10%
5%
0%
Nov-07 Feb-08 May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09 Feb-10 May-10 Aug-10
Primary
Chi-X
Turquoise
BATS
Source: Credit Suisse AES Analysis, Nov 1, 2007 – Aug 26, 2010
®
10 Portfolio Strategy
UK, France and Germany Lead Growth
in Fragmentation
Despite a challenging trading environment,
liquidity fragmentation in Europe has
continued to grow. In 2008, Multilateral
Trading Facilities (MTFs) accounted for
10.9% of value traded versus 26.9% so
far in 2010. Fragmentation has increased
across all markets, with the UK, France
and Germany accounting for more than
60% of the overall change.
Fragmentation Spreads
Individual stock fragmentation %
Figure 16:STOXX 600 Liquidity
Fragmentation Distribution
50%
45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
1
50
99
148
2008
197
246 295 344
No. of stocks
2009
393
442
491
540
589
2010
Source: Credit Suisse Portfolio Strategy Group, Q4 avg. 2008 – 2010
Figure 16 plots constituents of the STOXX
600 by their level of liquidity fragmentation
as of Q4 2008, 2009 and 2010.
It shows that the most fragmented stocks
have become even more fragmented and
those stocks with previously low levels
of fragmentation are now experiencing
significant fragmentation. Countries which
have experienced especially dramatic
changes in their liquidity profile include
Switzerland, Italy and Sweden (Figure 17).
Figure 17:Liquidity Fragmentation
by Country
45%
40%
Fragmentation
35%
30%
25%
20%
15%
10%
5%
0%
UK
Ger
Frag % 2008
Fra
Swit
Neth
Italy
Swe
Frag % 2010
Source: Credit Suisse Portfolio Strategy Group,
Q4 avg. 2008 – 2010
60
30
50
25
40
20
30
15
20
10
10
£ 000’s
€ 000’s
Figure 18:Changes in Average Trade Size
5
0
Nov-07
Feb-08
Jun-08
EUROSTOXX 50
Oct-08
Feb-09
Jun-09
Sep-09
Jan-10
Jun-10
0
FTSE 100 INDEX
Trade Sizes Reach a Floor in
Europe, Too
The growth in algorithmic trading has
led to a significant drop in average trade
sizes on lit venues in Europe. As shown in
Figure 18, a floor appears to have been
reached in October 2008.
Source: Credit Suisse AES® Analysis, Nov 1, 2007 – Aug 26, 2010
Portfolio Strategy 11
MiFID II: Hail CESR!
CESR Points the Way
Regulators in Europe have been just as
active as their counterparts in the US.
As well as consulting on refinements to the
Markets in Financial Instruments Directive
(MiFID), European regulators have also
been concerning themselves with short
selling, high frequency trading, sponsored
access, co-location, fee structures and
tick sizes.
With respect to MiFID, on July 29, 2010
the Committee of European Securities
Regulators (CESR) published technical
advice to the European Commission (EC)
aimed at addressing a range of issues in
the areas of pre-trade transparency and
post-trade reporting, among others. The
EC will launch its own consultation process
by early December with a final legislative
proposal expected to be issued by May
2011. Changes would likely take effect in
2013 and focus on four key topics:
• Pre-trade transparency
• Post-trade transparency
• Consolidation of post-trade data
• Regulatory boundaries and requirements
Figure 19 summarizes CESR’s
recommendations to the EC and includes
feedback to an earlier consultation from
the Federation of European Exchanges
(FESE), London Stock Exchange (LSE),
Multilateral Trading Facilities (MTFs),
Investment Management Association (IMA)
and Association of Financial Markets in
Europe (AFME). For further information
please see our full report MiFID II:
Hail CESR! – September 2010.
Figure 19:Summary of CESR Recommendations to EC on MiFID II
Area
Topic
Sub-Topic
Large in Scale
(LIS) orders
Waivers from
pre-trade
transparency Reference price
systems
1) Pre-trade
transparency
Proposal
CESR Recommendation
FESE LSE
Further empirical work is required. The
European Securities and Markets Authority
(ESMA) should be given the power to
monitor the waiver on an on-going basis.
The EC should provide clarification on
Should ‘stubs’ qualify for LIS
whether the waiver extends to ‘stubs’. The
protection?
aim of this waiver should also be clarified.
Should a minimum size threshold
The EC should give ESMA the power
be imposed?
to monitor the waiver on an ongoing
basis including periodic review of pricing
Should Exchanges and MTFs be
methodologies and whether there should be
allowed to offer price improvement?
a cap on volumes executed under the waiver.
Negotiated trades
Order
Clarification required?
management
facility
Does the SI regime need to be
redefined?
Quote obligations: Should SIs
maintain 2-way quotes at 10% of
Systematic internaliser (SI)
standard market size?
Addressing quality of
post-trade data
MTFs IMA
AFME
Should order size thresholds be
reduced?
Both waivers should be retained and
further clarification on their scope should
be provided.
Yes.
Yes.
Post-trade reporting: Should SIs
identify their trades in post-trade
reporting?
SIs should continue to be exempt from
individually identifying themselves in
post-trade reporting providing they publish
monthly (previously quarterly) trading data.
Should new standards for the
publication of post-trade data be
introduced?
Should trade flags be harmonised
across markets?
Yes. CESR recommends new standards for
post-trade reference data; OTC transaction
types; identification of dark trading,
cancellations and amendments; etc.
Yes, to address this issue CESR
recommends that the “executing broker” (i.e.
the broker which trades the market leg of
an order) be responsible for trade reporting,
defaulting to the seller in the case of a cross.
Yes. RMs, MTFs and investment firms
Should OTC trades be published as trading OTC should be required to publish
close to real-time as possible?
transactions as close to instantaneously
as possible.
Yes. The deadline should be reduced to
Should the deadline for reporting
1min. CESR also notes that trades should
be reduced from 3mins to 1min?
not be “batch” published.
Yes. There are 2 proposals under
consideration. Under Proposal A trades will
Should the existing delays and
be reported no later than the start of trading
thresholds be recalibrated?
on T+1. Proposal B is more lenient, allowing
large trades to be delayed by 24 hours.
Yes. Transparency rules should be
Should transparency rules
extended to cover a) Depository Receipts;
be extended to equity-like
b) Exchange Traded Funds (ETFs) and c)
instruments?
Certificates.
Do you support the Approved
CESR has put forward 3 proposals for
Publication Arrangement (APA)
achieving affordable, consolidated post-trade
framework?
data: 1) Introducing APAs; 2) addressing
the cost of market data; and 3) introducing
Do you support the Mandatory
Consolidated Tape (MCT) proposal? an MCT.
In addition to the requirements set out
in Article 13 of MiFID, MTFs should be
Are traditional Exchanges at a
required to meet requirements concerning,
disadvantage to MTFs?
for example, managing potential conflicts of
interest and operational risks, etc.
Yes. A generic Broker Crossing System
Should an identifier be added to
(BCS) identifier should be added to postBCS trades?
trade data. Aggregated end of day data
should also be published by each BCS.
Yes. CESR recommends that the EC impose
Should client business on BCS
a limit (to be determined) on the amount of
be limited?
client business that can be traded through a
BCS before it is required to become an MTF.
Is more clarity needed to decide
who should publish OTC trades?
2) Post-trade
transparency
Getting the
timing right
Real-time
publication of
transactions not
eligible for delay
Deferred
publication
regime
Same-same but different:
Equity-like instruments
3) Consolidation
of post-trade
Choosing a framework
data
Traditional Exchanges at a
disadvantage to MTFs?
4) Regulatory
boundaries &
requirements
More checks on broker dark
pools?
FOR
AGAINST
NEUTRAL
Source: Credit Suisse Portfolio Strategy Group Consultation on CESR’s Advice to the Commission in the Context of the MiFID Review – Equity
Markets, May 31, 2010
Figure 20:% of Time BSE Price is Better
Than NSE
60%
50%
40%
30%
20%
10%
TATA
SESA
SBIN
RIL
STLT
MSEZ
TTMT
LT
MSIL
BHART
ICICIBC
MM
AXSB
RCOM
DLFU
NMDC
HH
WPRO
HDFCB
ADE
RPWR
HDFC
SAIL
CAIR
INFO
HNDL
BHEL
ONGC
NATP
TCS
0%
Source: Credit Suisse Portfolio Strategy Group, May 2010
Figure 21: NSE/BSE Best Bid-Offer Sizes
450%
400%
350%
300%
250%
200%
150%
100%
50%
TATA
SESA
SBIN
RIL
STLT
MSEZ
TTMT
LT
MSIL
BHART
ICICIBC
MM
AXSB
RCOM
DLFU
NMDC
HH
WPRO
HDFCB
ADE
RPWR
HDFC
SAIL
CAIR
INFO
HNDL
BHEL
ONGC
NATP
TCS
0%
Figure 22:Spreads in Asia Pacific (bps)
India
China (Domestic)
Asia
India: A Tale of Two Markets
India has two major stock markets, the
National Stock Exchange (NSE) and the
Bombay Stock Exchange (BSE), each with
their own flagship index. Interestingly, the
markets are quite different with respect to
their liquidity characteristics (India – A Tale
of Two Markets – August 2010).
The NSE was created to offer a fully
electronic, national trading system. Today
it is India’s leading stock exchange with
much higher daily turnover and tighter
spreads compared to the older BSE. From
the charts on the left, we see that the best
available price is usually found on the NSE
which corresponds to far greater liquidity.
This is all despite the fact that the market
capitalizations of both markets are roughly
in line, demonstrating that a market’s
microstructure matters a lot.
Japan
Taiwan
Hong Kong
Like No Other in Asia
Asia Pacific
2H10: 28.5 bp
Korea
Asia Pacific
2008: 38 bp
Australia*
Singapore*
Malaysia
Thailand
Indonesia
0
20
2H10E*
40
2010
60
80
100
120
2009
Figure 23:Best Bid/Ask Quantity
(% of Daily Volume)
One should also note that executing at
the tightest spreads is difficult since only
a very small portion of volume, relative to
other markets in Asia, is available at such
tight levels (Figure 23).
Malaysia
Thailand
Singapore
Korea
Taiwan
Australia
Japan
Asia Pacific Median 0.93%
Hong Kong
India
BSE
NSE
0%
1%
2%
3%
4%
The competition between India’s two
exchanges has led to remarkably low
bid-ask spreads in the country when
compared to the rest of Asia. The typical
spread is 3 basis points on the NSE and
4 basis points on the BSE, as compared
to an average of 29 basis points in the
Asia Pacific region.
5%
MARKET CHARACTERISTICS
Global Weightings........................................ 17
Global Spreads............................................ 18
Value Traded Ratio....................................... 20
Global Betas................................................ 21
Price Performance....................................... 23
MARKET CHARACTERISTICS
Figure 24:Regional Weightings Over Time
MSCI ACWI weighting
100%
Emerging Markets’ Weighting Doubles
Emerging
Asia-Pacific
80%
Europe
60%
Canada
40%
US
20%
0%
Feb-05
Oct-05
US
Jun-06
Canada
Feb-07
Oct-07
Europe
Jun-08
Asia-Pacific
Feb-09
Oct-09
Jun-10
Emerging
Source: Credit Suisse Portfolio Strategy Group, MSCI, Feb 1,
2005 – Jun 1, 2010
In 2005 the US accounted for almost
half of the MSCI All Country World Index.
Its relative weighting has since slipped
to approximately 43%, mainly due to
emerging markets which have seen their
weighting more than double (from 5%
to 12%).
Looking at Weightings
in EDGE
Market Cap Weights: MSCI Europe
100,000,000
10,000,000
In the EDGE pre-trade analysis users can
calculate expected market impact and
timing risk, as well as a variety of other
portfolio characteristics (e.g. portfolio
weighting versus market cap distribution).
1,000,000
Mkt Cap (Millions, log)
Global Weightings
100,000
10,000
1,000
100
10
1
–
All Stocks
1.000
2.000
3.000
10 Largest Companies
Large Cap (> $4bn)
Mid Cap ($1bn-$4bn)
4.000 5.000 6.000
% Gross Weight
7.000
8.000
9.000
To access EDGE visit
credit-suisse.com/edge.
10 Smallest Companies
Small Cap ($500mn-$1bn)
Micro Cap (< $500mn)
Source: credit-suisse.com/edge
Market Cap Weights: MSCI US
10,000,000
Under the Pre Trade tab select your
portfolio, submit and export to Excel to
view market cap, liquidity, volatility and
sector profiles.
Mkt Cap (Millions, log)
1,000,000
100,000
10,000
1,000
100
1
–
All Stocks
Large Cap (> $4bn)
0.500
1.000
10 Largest Companies
Mid Cap ($1bn-$4bn)
1.500
2.000
% Gross Weight
2.500
3.000
3.500
10 Smallest Companies
Small Cap ($500mn-$1bn)
Micro Cap (< $500mn)
Source: credit-suisse.com/edge
Global Spreads
Figure 25 shows average bid-ask spreads for countries in the MSCI All Country
World Index.
Figure 25:Global Bid-Ask Spreads
60
50
40
30
20
10
0
USA
India
Canada
Netherlands
France
Russia
Germany
United Kingdom
Spain
Belgium
Finland
Switzerlan
Sweden
Norway
Italy
Hungary
Australia
Israel
Portugal
Denmark
Brazil
South Africa
Hong Kong
China
Japan
Austria
Poland
South Korea
Malaysia
Taiwan
Singapore
Greece
Mexico
Chile
Egypt
Ireland
Thailand
New Zealand
Morocco
Indonesia
Czech Republic
Turkey
Philippines
Bid-ask spread (bps)
70
Developed
Emerging
Source: Credit Suisse Portfolio Strategy Group, as of Sep 21, 2010
EDGE Can Help: Spreads
Step 3: Export to Excel
Bid-Ask
150+
100-150
75-100
Step 1: Click PORTFOLIOS
Step 2: Click Pre Trade
tab and select strategy
50-75
25-50
Access EDGE at credit-suisse.com/edge.
The EDGE pre-trade analysis will show your portfolio’s
bid-ask spread distribution.
10-25
0-10
0
20
% Gross Weight
40
Log (Total Value Traded USD in mn)
Figure 26:Developed vs. Emerging
Markets
Narrower Spreads in Developed
Markets
Tighter bid-ask spreads are usually
reflective of a more open and competitive
market.
10,000
1,000
100
10
1
1
10
100
Log (Bid-Ask Spread (bps))
Developed
1,000
It is not surprising that we generally find
much tighter spreads and higher turnover
in developed markets compared to
emerging markets.
Emerging
Source: Credit Suisse Portfolio Strategy Group, Oct 1, 2010
Figure 27:Spreads in Developed Markets
10,000
Within developed markets, stocks in North
America tend to have the tightest spreads.
Asian stocks, due to higher tick sizes, tend
to have the widest spreads.
1,000
100
10
1
North America Leads the
Developed Markets
1
10
100
Log Bid-Ask Spread (bps)
North America
Developed Europe
Developed Asia
Figure 28:Spreads in Emerging Markets
Amongst emerging market regions, the
picture is mixed. No region is a strong
leader in either spreads or turnover.
1,000
100
10
1
No Clear Winner in Emerging Markets
1
10
100
Log (Bid-Ask Spread (bps))
Emerging Asia
Emerging EMEA
Latin America
1,000
Within emerging markets we are not
surprised to see a range of outcomes from
very high spreads/low turnover (e.g. Peru)
to tighter spreads/higher turnover
(e.g. Brazil).
Value Traded Ratio
The value traded ratio provides a normalized view of liquidity across markets. As we would
expect from the above data, developed markets tend to have a higher value traded ratio
than emerging markets. Figure 29 shows that developed markets traded 2.2x their free
float market cap during the period from July 1, 2009 to June 30, 2010 compared to
1.5x for emerging markets. At a regional level, the Americas traded at 2.6x, versus 1.8x
in Europe and 1.5x in Asia.
Figure 29:Annualized Ratio of Value Traded to Free Float Market Cap*
4
For each country: N
Value Traded Ratio=∑
3
i=1
TotalValueTradedi
FreeFloatMarketCapi
2
0
Italy
Spain
USA
Norway
South Korea
Germany
China
France
Belgium
Netherlands
Taiwan
India
Japan
Portugal
United Kingdom
Thailand
Greece
Brazil
Poland
Switzerland
South Africa
Australia
Hong Kong
Singapore
Ireland
Indonesia
Egypt
Canada
Israel
New Zealand
Malaysia
Chile
Colombia
Philippines
Argentina
1
Developed
Emerging
Source: Credit Suisse Portfolio Strategy Group, Jul 1, 2009 – Jun 30, 2010
* Composite volumes are used for the US and Europe. Primary market volume only is used for Asia.
EDGE Can Help: Liquidity
Step 3: Export to Excel
12
Step 1: Click PORTFOLIOS
Step 2: Click Pre Trade tab and select strategy
To access EDGE visit credit-suisse.com/edge.
% of Daily Volume
10
8
6
4
2
0
0
Least liquid names
Name
Ric
FIRST CITIZENS BCSHS -CL A
FCNCA.OQ
450
83,783
MADISON SQUARE GAR INC-A
MSG.OQ
5,015
108,675
ECHOSTAR CORP-A
SATS.OQ
3,084
VISHAY PRECISION GROUP
VPG.N
ALERE INC
ALR.N
TECHNE CORP
TECH.OQ
THOMSON REUTERS CORP
TRI.N
WEBMD HEALTH CORP
WBMD.OQ
Shares
Value % ADV
[USD]
Est. Cost
(bps)
Est. Cost
[USD]
10.63
34.77
291.28
8.10
16.13
175.25
59,722
7.20
19.70
117.62
1,023
15,739
6.86
41.74
65.69
6,989
215,156
5.83
18.68
402.00
3,100
191,224
5.43
13.97
267.16
31,100
1,199,994
5.23
11.80
1,416.14
4,937
246,134
5.16
10.23
251.75
0.25
0.5
% Gross Weight
0.75
View the liquidity
profile of your portfolio
as well as the most
liquid names.
1
Global Betas
In Figure 30 we estimate the beta between major countries using weekly returns from
July 2009 to July 2010. Countries which move in the same direction and by a similar
magnitude have a beta close to 1; whereas those that are not strongly related have a
beta closer to zero.
Figure 30:Global Betas
Exposure Country
Americas
Africa/M East
Brazil
Canada
Chile
Colombia
Mexico
Peru
USA
Austria
Belgium
Czech
Republic
Finland
France
Germany
Greece
Hungary
Ireland
Italy
Netherlands
Norway
Poland
Portugal
Russia
Europe
Argentina
Asia Pac
Europe
Americas
Holding
Country
Argentina
1.00
0.56
0.72
0.84
0.78
0.67
0.73
1.05
0.59
0.64
0.52
0.69
0.68
0.75
0.32
0.44
0.61
0.60
0.73
0.60
0.42
0.49
0.54
Brazil
1.12
1.00
1.10
1.35
1.30
1.14
1.11
1.50
0.85
1.02
0.76
1.03
1.05
1.14
0.55
0.64
0.90
0.91
1.06
0.93
0.71
0.83
0.74
Canada
0.87
0.68
1.00
1.00
0.97
0.87
0.95
1.24
0.69
0.77
0.63
0.84
0.82
0.94
0.42
0.53
0.73
0.69
0.84
0.70
0.56
0.60
0.60
Chile
0.48
0.39
0.47
1.00
0.61
0.47
0.55
0.73
0.37
0.39
0.36
0.43
0.45
0.49
0.19
0.29
0.35
0.39
0.45
0.40
0.32
0.33
0.34
Colombia
0.52
0.44
0.53
0.72
1.00
0.52
0.66
0.63
0.44
0.51
0.40
0.51
0.48
0.54
0.24
0.30
0.48
0.41
0.50
0.44
0.33
0.37
0.37
Mexico
0.82
0.70
0.88
1.01
0.96
1.00
0.90
1.22
0.67
0.80
0.60
0.80
0.82
0.91
0.39
0.50
0.71
0.71
0.84
0.72
0.56
0.60
0.59
Peru
0.57
0.44
0.62
0.77
0.78
0.58
1.00
0.78
0.50
0.53
0.47
0.56
0.55
0.62
0.27
0.40
0.53
0.46
0.58
0.49
0.40
0.39
0.44
USA
0.58
0.42
0.57
0.71
0.52
0.55
0.55
1.00
0.46
0.52
0.44
0.55
0.57
0.63
0.25
0.37
0.47
0.50
0.58
0.46
0.37
0.38
0.40
Austria
1.09
0.79
1.05
1.19
1.22
1.01
1.18
1.53
1.00
1.07
0.91
1.06
1.08
1.19
0.57
0.71
0.93
0.96
1.11
0.87
0.75
0.84
0.78
Belgium
0.85
0.69
0.85
0.92
1.01
0.88
0.90
1.26
0.77
1.00
0.70
0.95
0.95
1.05
0.51
0.59
0.80
0.83
0.97
0.76
0.65
0.76
0.64
Czech Republic
0.95
0.70
0.96
1.16
1.11
0.90
1.10
1.45
0.90
0.96
1.00
1.01
1.02
1.07
0.50
0.69
0.82
0.89
1.02
0.77
0.75
0.73
0.72
Finland
0.90
0.67
0.90
0.97
0.98
0.86
0.92
1.29
0.75
0.93
0.72
1.00
0.94
1.04
0.50
0.59
0.79
0.80
0.96
0.77
0.68
0.70
0.66
France
0.89
0.70
0.88
1.04
0.94
0.88
0.92
1.36
0.77
0.94
0.73
0.95
1.00
1.08
0.51
0.60
0.80
0.86
0.99
0.77
0.67
0.74
0.66
Germany
0.78
0.60
0.81
0.88
0.83
0.77
0.82
1.18
0.67
0.82
0.61
0.83
0.85
1.00
0.45
0.53
0.70
0.73
0.87
0.67
0.58
0.64
0.60
Greece
0.94
0.82
1.03
0.98
1.08
0.95
1.03
1.35
0.92
1.14
0.82
1.13
1.16
1.27
1.00
0.67
0.88
1.01
1.13
0.90
0.79
1.03
0.79
Hungary
1.29
0.95
1.27
1.48
1.31
1.19
1.46
1.96
1.11
1.28
1.10
1.31
1.32
1.47
0.66
1.00
1.09
1.14
1.36
1.02
0.97
0.94
0.95
Ireland
0.96
0.71
0.94
0.95
1.12
0.91
1.06
1.32
0.79
0.94
0.70
0.95
0.95
1.05
0.46
0.59
1.00
0.84
0.99
0.78
0.62
0.73
0.65
Italy
1.03
0.80
0.98
1.16
1.07
1.01
1.01
1.54
0.89
1.07
0.84
1.06
1.12
1.21
0.58
0.67
0.92
1.00
1.11
0.87
0.73
0.87
0.74
Netherlands
0.92
0.68
0.88
1.01
0.95
0.87
0.93
1.32
0.76
0.92
0.70
0.94
0.96
1.06
0.48
0.59
0.80
0.82
1.00
0.78
0.65
0.68
0.67
Norway
1.11
0.87
1.07
1.28
1.22
1.10
1.14
1.54
0.87
1.05
0.78
1.09
1.09
1.20
0.56
0.65
0.92
0.93
1.13
1.00
0.76
0.78
0.79
Poland
0.96
0.82
1.05
1.29
1.11
1.05
1.15
1.54
0.92
1.11
0.94
1.19
1.16
1.27
0.61
0.76
0.91
0.97
1.18
0.94
1.00
0.84
0.81
Portugal
0.88
0.75
0.88
1.02
0.99
0.88
0.88
1.23
0.80
1.01
0.71
0.96
1.01
1.09
0.62
0.58
0.83
0.89
0.96
0.75
0.65
1.00
0.64
Russia
1.23
0.86
1.14
1.36
1.28
1.11
1.26
1.65
0.97
1.10
0.90
1.16
1.14
1.32
0.61
0.75
0.96
0.98
1.22
0.97
0.81
0.82
1.00
Spain
0.96
0.78
0.94
1.21
0.97
0.94
0.95
1.52
0.86
1.06
0.84
1.06
1.14
1.22
0.61
0.67
0.85
0.99
1.09
0.84
0.77
0.93
0.71
Sweden
0.83
0.64
0.83
0.97
0.87
0.81
0.89
1.25
0.70
0.85
0.71
0.93
0.90
0.99
0.45
0.59
0.71
0.75
0.93
0.72
0.66
0.60
0.62
Switzerland
0.58
0.44
0.56
0.60
0.61
0.56
0.58
0.82
0.49
0.60
0.47
0.63
0.64
0.70
0.34
0.38
0.53
0.54
0.64
0.49
0.44
0.50
0.42
Turkey
0.81
0.67
0.85
1.15
0.94
0.86
1.07
1.15
0.67
0.75
0.72
0.77
0.83
0.84
0.40
0.58
0.73
0.72
0.85
0.70
0.64
0.58
0.63
United Kingom
0.74
0.52
0.68
0.87
0.74
0.68
0.71
1.02
0.59
0.68
0.57
0.73
0.73
0.80
0.35
0.45
0.59
0.61
0.74
0.60
0.52
0.52
0.52
Australia
0.85
0.63
0.81
1.00
0.89
0.82
0.91
1.25
0.67
0.76
0.63
0.80
0.85
0.89
0.41
0.53
0.71
0.72
0.86
0.69
0.57
0.55
0.59
China
0.59
0.40
0.47
0.69
0.67
0.50
0.32
0.63
0.36
0.45
0.28
0.49
0.44
0.55
0.20
0.26
0.29
0.35
0.49
0.46
0.32
0.30
0.43
Hong Kong
0.52
0.41
0.50
0.69
0.62
0.53
0.60
0.77
0.42
0.52
0.38
0.57
0.54
0.61
0.26
0.35
0.42
0.45
0.57
0.45
0.40
0.36
0.43
India
0.68
0.52
0.73
0.83
0.84
0.67
0.80
0.98
0.52
0.56
0.48
0.65
0.66
0.75
0.29
0.44
0.56
0.54
0.67
0.55
0.48
0.40
0.53
Indonesia
0.68
0.48
0.57
0.82
0.89
0.61
0.77
0.87
0.50
0.57
0.45
0.59
0.57
0.64
0.22
0.39
0.54
0.51
0.61
0.51
0.40
0.38
0.47
Japan
0.22
0.15
0.25
0.31
0.22
0.24
0.30
0.43
0.24
0.25
0.27
0.25
0.30
0.29
0.12
0.18
0.23
0.25
0.28
0.19
0.20
0.18
0.18
Korea
0.77
0.49
0.68
0.86
0.76
0.60
0.81
1.09
0.57
0.59
0.58
0.65
0.70
0.76
0.27
0.46
0.57
0.59
0.72
0.52
0.44
0.40
0.51
Malaysia
0.47
0.32
0.40
0.59
0.46
0.39
0.49
0.63
0.33
0.36
0.30
0.40
0.41
0.47
0.20
0.27
0.33
0.35
0.43
0.34
0.27
0.27
0.34
New Zealand
0.63
0.44
0.56
0.75
0.61
0.54
0.69
0.89
0.49
0.55
0.45
0.58
0.61
0.66
0.31
0.39
0.50
0.51
0.63
0.51
0.40
0.41
0.43
Philippines
0.41
0.32
0.41
0.67
0.45
0.41
0.47
0.72
0.32
0.38
0.29
0.38
0.42
0.50
0.17
0.31
0.31
0.36
0.42
0.32
0.34
0.25
0.31
Singapore
0.51
0.40
0.51
0.69
0.55
0.50
0.55
0.80
0.42
0.47
0.41
0.51
0.54
0.60
0.23
0.34
0.43
0.46
0.54
0.42
0.38
0.35
0.38
Taiwan
0.41
0.29
0.36
0.50
0.30
0.36
0.44
0.68
0.31
0.30
0.27
0.33
0.40
0.42
0.14
0.24
0.31
0.35
0.39
0.30
0.22
0.23
0.28
Thailand
0.39
0.22
0.32
0.47
0.42
0.31
0.39
0.56
0.21
0.29
0.17
0.35
0.32
0.39
0.13
0.22
0.30
0.28
0.33
0.26
0.20
0.20
0.26
Egypt
0.51
0.31
0.41
0.72
0.46
0.39
0.57
0.76
0.36
0.37
0.42
0.45
0.50
0.54
0.24
0.35
0.42
0.39
0.54
0.38
0.40
0.23
0.44
Israel
0.43
0.39
0.48
0.63
0.60
0.54
0.58
0.75
0.40
0.50
0.37
0.52
0.53
0.58
0.27
0.32
0.40
0.45
0.53
0.46
0.42
0.36
0.37
Morocco
0.19
0.11
0.19
0.24
0.18
0.13
0.22
0.29
0.18
0.17
0.18
0.18
0.20
0.25
0.11
0.13
0.20
0.16
0.22
0.16
0.13
0.14
0.14
Pakistan
0.21
0.05
0.06
0.10
0.24
0.01
0.23
0.18
0.12
0.10
0.08
0.11
0.12
0.14
0.07
0.09
0.17
0.12
0.13
0.09
0.04
0.07
0.12
South Africa
0.88
0.74
0.98
1.07
0.96
0.97
0.99
1.33
0.74
0.89
0.67
0.94
0.94
1.04
0.48
0.58
0.76
0.79
0.96
0.79
0.70
0.68
0.67
Figure 30:Global Betas Continued
Sweden
Switzerland
Turkey
United
Kingom
Australia
China
Hong Kong
India
Indonesia
Japan
Korea
Malaysia
New
Zealand
Philippines
Singapore
Taiwan
Thailand
Egypt
Israel
Morocco
Pakistan
South
Africa
Africa-Mid East
Spain
Asia Pac
Europe
Americas
Holding
Country
Africa/M East
Exposure Country
Asia
Europe
0.50
0.66
0.89
0.45
0.88
0.66
0.35
0.79
0.62
0.76
0.73
0.71
1.01
0.85
0.55
0.94
0.60
0.44
0.37
0.62
0.73
0.32
0.61
Brazil
0.80
1.01
1.33
0.74
1.23
0.97
0.47
1.24
0.95
1.06
0.98
0.90
1.36
1.18
0.84
1.44
0.84
0.50
0.44
1.10
0.80
0.16
1.00
Canada
0.59
0.80
1.05
0.58
0.99
0.76
0.34
0.92
0.82
0.77
1.00
0.75
1.05
0.93
0.66
1.14
0.66
0.43
0.36
0.84
0.87
0.12
0.82
Chile
0.36
0.44
0.53
0.36
0.60
0.44
0.23
0.60
0.44
0.52
0.59
0.45
0.73
0.58
0.51
0.72
0.42
0.31
0.30
0.52
0.51
0.09
0.42
Colombia
0.34
0.47
0.63
0.35
0.59
0.47
0.26
0.64
0.52
0.66
0.48
0.47
0.66
0.56
0.41
0.68
0.30
0.32
0.22
0.58
0.47
0.24
0.44
Mexico
0.59
0.79
1.06
0.58
0.99
0.78
0.36
0.99
0.75
0.83
0.96
0.67
1.01
0.89
0.67
1.11
0.65
0.43
0.34
0.95
0.61
0.02
0.82
Peru
0.39
0.56
0.70
0.47
0.68
0.56
0.15
0.72
0.58
0.68
0.77
0.58
0.83
0.74
0.50
0.79
0.51
0.35
0.32
0.66
0.66
0.28
0.54
USA
0.44
0.55
0.70
0.35
0.68
0.54
0.21
0.65
0.50
0.54
0.78
0.55
0.75
0.67
0.53
0.81
0.56
0.35
0.30
0.60
0.62
0.15
0.51
Austria
0.83
1.04
1.39
0.69
1.32
0.96
0.40
1.18
0.88
1.05
1.45
0.97
1.30
1.22
0.79
1.44
0.87
0.45
0.48
1.06
1.29
0.35
0.95
Belgium
0.74
0.91
1.23
0.55
1.09
0.80
0.36
1.06
0.69
0.86
1.09
0.72
1.04
1.00
0.69
1.14
0.60
0.45
0.36
0.96
0.88
0.20
0.81
Czech Republic
0.80
1.03
1.33
0.74
1.25
0.89
0.30
1.07
0.81
0.92
1.60
0.97
1.17
1.12
0.71
1.37
0.74
0.36
0.56
0.97
1.25
0.22
0.85
Finland
0.72
0.96
1.26
0.55
1.14
0.81
0.38
1.13
0.78
0.85
1.08
0.78
1.12
1.03
0.66
1.21
0.64
0.52
0.42
0.98
0.91
0.21
0.84
France
0.78
0.94
1.30
0.60
1.14
0.87
0.34
1.08
0.79
0.83
1.27
0.85
1.15
1.09
0.75
1.29
0.79
0.48
0.47
1.01
1.00
0.24
0.85
Germany
0.66
0.82
1.13
0.49
1.00
0.72
0.34
0.97
0.72
0.75
0.99
0.72
1.06
0.93
0.69
1.14
0.65
0.46
0.40
0.87
0.99
0.22
0.75
Greece
0.95
1.07
1.58
0.66
1.26
0.94
0.35
1.16
0.79
0.73
1.14
0.73
1.28
1.26
0.68
1.25
0.61
0.44
0.52
1.15
1.21
0.34
0.97
Hungary
1.01
1.37
1.70
0.94
1.57
1.20
0.45
1.54
1.17
1.29
1.75
1.24
1.69
1.56
1.22
1.79
1.05
0.73
0.74
1.34
1.44
0.39
1.17
Ireland
0.69
0.89
1.28
0.64
1.11
0.87
0.27
1.00
0.81
0.94
1.21
0.82
1.12
1.07
0.65
1.23
0.73
0.54
0.47
0.90
1.22
0.40
0.82
Italy
0.89
1.04
1.44
0.69
1.27
0.96
0.36
1.17
0.86
0.99
1.41
0.93
1.28
1.20
0.82
1.44
0.91
0.54
0.48
1.11
1.08
0.30
0.93
Netherlands
0.72
0.94
1.24
0.60
1.13
0.85
0.37
1.09
0.78
0.86
1.17
0.84
1.16
1.08
0.72
1.24
0.74
0.47
0.49
0.96
1.06
0.26
0.83
Norway
0.81
1.07
1.39
0.71
1.33
0.99
0.51
1.28
0.93
1.06
1.16
0.88
1.34
1.29
0.81
1.42
0.82
0.54
0.51
1.23
1.12
0.26
1.01
Poland
0.91
1.20
1.55
0.81
1.43
1.02
0.44
1.39
1.01
1.01
1.49
0.91
1.33
1.23
1.03
1.58
0.75
0.52
0.66
1.40
1.16
0.13
1.10
Portugal
0.86
0.85
1.38
0.57
1.11
0.76
0.32
0.96
0.66
0.75
1.04
0.65
1.02
1.00
0.61
1.13
0.62
0.41
0.29
0.92
0.94
0.20
0.83
Russia
0.85
1.13
1.50
0.80
1.43
1.05
0.58
1.50
1.11
1.21
1.34
1.06
1.69
1.35
0.95
1.58
0.96
0.69
0.72
1.21
1.19
0.43
1.05
Spain
1.00
1.04
1.43
0.65
1.29
0.92
0.36
1.20
0.80
0.88
1.41
0.92
1.28
1.18
0.90
1.49
0.99
0.48
0.47
1.14
0.98
0.31
0.94
Sweden
0.68
1.00
1.19
0.53
1.11
0.81
0.36
1.12
0.75
0.80
1.06
0.79
1.12
1.04
0.71
1.22
0.62
0.45
0.51
0.92
1.00
0.16
0.79
Switzerland
0.48
0.62
1.00
0.39
0.77
0.55
0.16
0.65
0.50
0.49
0.77
0.54
0.73
0.67
0.44
0.78
0.39
0.28
0.30
0.63
0.74
0.13
0.53
Turkey
0.61
0.76
1.07
1.00
0.96
0.83
0.17
0.90
0.86
0.89
1.48
0.82
1.02
1.04
0.70
1.13
0.63
0.42
0.62
0.98
0.78
0.19
0.81
United Kingom
0.56
0.74
0.99
0.45
1.00
0.70
0.33
0.85
0.59
0.64
0.88
0.64
0.92
0.88
0.58
0.97
0.57
0.34
0.37
0.71
0.85
0.24
0.66
Australia
0.62
0.83
1.10
0.59
1.08
1.00
0.30
1.07
0.83
0.80
1.16
0.83
1.19
1.17
0.76
1.22
0.90
0.48
0.49
0.93
0.83
0.38
0.76
China
0.32
0.48
0.40
0.16
0.66
0.40
1.00
0.95
0.56
0.68
0.24
0.31
0.80
0.55
0.46
0.80
0.35
0.33
0.31
0.69
0.47
0.15
0.51
Hong Kong
0.41
0.58
0.66
0.33
0.67
0.55
0.37
1.00
0.59
0.66
0.59
0.53
0.91
0.68
0.58
0.91
0.57
0.42
0.35
0.71
0.39
0.22
0.52
India
0.45
0.65
0.83
0.52
0.76
0.70
0.36
0.98
1.00
0.84
0.90
0.72
1.09
0.81
0.68
1.15
0.73
0.62
0.45
0.85
0.36
0.22
0.67
Indonesia
0.41
0.57
0.67
0.44
0.69
0.56
0.36
0.90
0.69
1.00
0.67
0.65
1.02
0.70
0.68
0.97
0.58
0.54
0.30
0.76
0.40
0.43
0.55
Japan
0.22
0.26
0.36
0.25
0.32
0.27
0.04
0.27
0.25
0.23
1.00
0.32
0.34
0.38
0.21
0.40
0.32
0.23
0.20
0.29
0.48
0.07
0.21
Korea
0.52
0.69
0.90
0.50
0.84
0.71
0.20
0.88
0.73
0.79
1.14
1.00
1.14
0.83
0.65
1.18
0.86
0.42
0.47
0.72
0.78
0.39
0.58
Malaysia
0.31
0.42
0.52
0.26
0.52
0.43
0.22
0.64
0.47
0.53
0.52
0.49
1.00
0.57
0.55
0.71
0.53
0.36
0.28
0.45
0.55
0.34
0.36
New Zealand
0.45
0.61
0.76
0.42
0.78
0.67
0.24
0.76
0.55
0.57
0.91
0.56
0.90
1.00
0.53
0.79
0.61
0.39
0.35
0.62
0.81
0.28
0.51
Philippines
0.35
0.42
0.51
0.29
0.52
0.44
0.20
0.65
0.47
0.57
0.51
0.45
0.87
0.54
1.00
0.75
0.56
0.42
0.32
0.60
0.55
0.40
0.42
Singapore
0.42
0.53
0.66
0.34
0.64
0.52
0.26
0.76
0.58
0.60
0.72
0.59
0.83
0.59
0.55
1.00
0.63
0.32
0.33
0.66
0.46
0.25
0.49
Taiwan
0.34
0.33
0.40
0.24
0.46
0.47
0.14
0.58
0.45
0.44
0.70
0.53
0.76
0.55
0.50
0.77
1.00
0.33
0.16
0.43
0.34
0.29
0.35
Thailand
0.22
0.32
0.38
0.20
0.36
0.33
0.17
0.56
0.50
0.53
0.68
0.34
0.69
0.46
0.49
0.52
0.44
1.00
0.20
0.41
0.26
0.39
0.29
Egypt
0.34
0.56
0.65
0.48
0.62
0.53
0.25
0.74
0.58
0.47
0.93
0.61
0.84
0.66
0.59
0.84
0.33
0.32
1.00
0.69
1.12
0.42
0.41
Israel
0.41
0.51
0.67
0.38
0.59
0.50
0.28
0.75
0.54
0.59
0.66
0.46
0.66
0.58
0.56
0.84
0.44
0.32
0.34
1.00
0.37
0.19
0.54
Morocco
0.13
0.21
0.30
0.11
0.27
0.17
0.07
0.16
0.09
0.12
0.41
0.19
0.31
0.29
0.20
0.22
0.13
0.08
0.21
0.14
1.00
0.15
0.13
Pakistan
0.11
0.09
0.13
0.07
0.19
0.20
0.06
0.22
0.14
0.31
0.15
0.24
0.47
0.25
0.35
0.29
0.28
0.29
0.20
0.18
0.37
1.00
0.08
South Africa
0.71
0.92
1.19
0.65
1.14
0.86
0.44
1.15
0.89
0.90
1.02
0.77
1.14
1.00
0.81
1.30
0.76
0.48
0.43
1.14
0.73
0.18
1.00
Argentina
Source: Credit Suisse Portfolio Strategy Group, Jul 2009 – Jul 2010
Price Performance
Figure 31:1-Year Price Returns
(in USD terms)
-60%
Developed
Indonesia
Turkey
Colombia
Mexico
Sweden
Russia
Malaysia
Argentina
India
Chile
Singapore
Poland
Hungary
Philippines
Canada
Korea
South Africa
Norway
Australia
Netherlands
USA
Brazil
Switzerland
Pakistan
Belgium
Taiwan
Germany
Hong Kong
United Kingdom
Israel
China
New Zealand
Egypt
France
Japan
Czech Republic
Italy
Austria
Spain
Morocco
Portugal
Finland
Ireland
Greece
Thailand
-40%
-20%
Figure 32:3-Year Price Returns
(in USD terms)
0%
20%
40%
60%
Peru
Chile
India
Morocco
South Africa
Turkey
China
Hong Kong
Canada
Singapore
Taiwan
Philippines
Mexico
Switzerland
Thailand
Egypt
Czech Republic
USA
Korea
Australia
Sweden
Japan
Spain
Argentina
Netherlands
Germany
United Kingdom
France
Norway
Poland
Hungary
New Zealand
Portugal
Russia
Finland
Italy
Pakistan
Belgium
Austria
Greece
Ireland
80%
Emerging
-100%
Developed
-80%
-60%
-40%
-20%
Indonesia
Peru
Colombia
Israel
Malaysia
Brazil
0%
20%
40%
60%
Emerging
Source: Credit Suisse Portfolio Strategy Group, MSCI, Jul 7, 2009
– Jul 7, 2010
– Jul 7, 2010
Figure 33: Developed Market Price Returns
Figure 34: Emerging Market Price Returns
USD
Local Currency
1 Year 3 Year 5 Year 1 Year 3 Year 5 Year
Sweden 37% -33% 26%
31% -24% 21%
Singapore 30% -17% 57%
23% -24% 28%
Canada 25% -17% 37%
13% -17% 17%
Norway 23% -48%
0%
21% -42% -3%
Australia 22% -32% 20%
13% -31%
3%
Netherlands 21% -40%
1%
34% -35% -4%
USA 20% -29% -11% 20% -29% -11%
Switzerland 19% -25% 21%
15% -34% -2%
Belgium 16% -61% -37% 29% -58% -40%
Germany 14% -41% 14%
26% -36%
8%
Hong Kong 13% -14% 25%
13% -15% 25%
United Kingdom 12% -44% -17% 19% -25% -4%
Israel 12%
6%
57%
11%
-3%
33%
New Zealand 9%
-51% -39% -1% -45% -41%
France 5%
-45% -10% 17% -40% -15%
Japan 1%
-36% -5%
-7% -54% -26%
Italy -3% -56% -37%
8%
-52% -40%
Austria -5% -70% -47%
6%
-67% -50%
Spain -5% -37%
9%
5%
-31%
3%
Portugal -6% -52% -5%
3%
-48% -10%
Finland -7% -56% -20%
3%
-52% -25%
Ireland -10% -82% -71%
0%
-81% -73%
Greece -43% -75% -57% -37% -73% -59%
USD
1 Year 3 Year
Peru 71%
24%
Indonesia 54%
30%
Turkey 48% -13%
Colombia 46%
48%
Mexico 39% -22%
Russia 37% -53%
Malaysia 36%
2%
Argentina 34% -40%
India 31%
-1%
Chile 30%
15%
Poland 30% -49%
Hungary 29% -50%
Philippines 28% -20%
Korea 24% -30%
South Africa 24% -10%
Brazil 20%
0%
Pakistan 19% -58%
Taiwan 15% -18%
China 10% -13%
Egypt 7%
-27%
Czech Republic 0%
-28%
Morocco -5%
-5%
Thailand -51% -27%
– Jul 7, 2010
– Jul 7, 2010
Local Currency
5 Year 1 Year 3 Year 5 Year
313% 60%
10% 258%
184% 37%
31% 162%
61%
50%
6%
85%
226% 32%
44% 165%
71%
34%
-7% 104%
17%
35% -43% 26%
71%
23%
-4%
45%
33%
39% -24% 82%
123% 27%
16% 141%
104% 29%
19%
87%
10%
34% -39%
4%
-18% 47% -38% -11%
101% 23% -19% 66%
41%
19%
-8%
63%
65%
17%
-2%
83%
112% 20%
0%
112%
-31% 25% -41% -1%
21%
12% -20% 21%
130% 10% -13% 130%
22%
7%
-27% 22%
51%
8%
-30% 20%
163%
3%
2%
153%
2%
9%
-28%
3%
Figure 35:Trading Hours for Major Markets
Market Pre-Open
Continuous Trading (hours listed are local times)
New York Time 17 18 19 20 21 22 23 24 1am 2 3 4 5 6am 7 8 9 10 11 12 13 14 15 16
London Time 22 23 24 1am 2 3 4 5 6am 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21
TokyoTime 6am 7 8
9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 1am 2 3 4 5
NEW ZEALAND (A)* 09:00-10:00
AUSTRALIA (A) 07:00-10:00/10:09
(A)
(A)
(A)
(A)
TAIWAN (A)
SINGAPORE (A)
(A)
MALAYSIA
(A)
JAPAN
KOREA
08:00-09:00
12:05-12:30
08:00-09:00 (KOSPI)
07:50-09:00 (KOSDAQ)
08:30-09:00
08:30-09:00
08:30-09:00
14:00-14:30
10:00
16:00
09:00 11:00
12:30 15:00
09:00
14:50
14:00 17:00
09:00
14:30 16:45
12:30
09:30 11:30
PHILIPPINES (A) 09:00-09:30
VIETNAM (A) 08:30-09:00
09:30 12:00
09:00 10:15
INDONESIA (A) 09:10-09:25**
(A) 09:30-09:55
THAILAND
(A) 14:00-14:25
PAKISTAN (A) 09:15-09:30***
INDIA First Print
(A) 14:50-15:00
09:00
13:25
09:00 12:30
CHINA (A) 09:15-09:25
HONG KONG (A) 09:30-10:00
(A) 16:45-17:00. Random close
within +/-30secs of 17:00
(A) 16:00-16:10/16:12. Random
time up to 59secs after 16:10
(A) 11:00
(A) 15:00
16:45
10:00
10:00 12:30
14:30 16:00
13:30 16:00
10:00 12:30
14:30 16:30
09:30
09:15
RUSSIA^ (A) 10:15-10:30 (MICEX)
TURKEY (A) 09:30-09:40
ISRAEL^ (A) 09:45-09:50
SOUTH AFRICA (A) 08:35-09:00
15:30
15:30
10:30
18:45
09:45 12:30
09:50
14:00 17:30
16:15
09:00
16:50
BELGIUM (A) 07:15-09:00
09:00
DENMARK (A) 08:00-09:00
09:00
FINLAND (A) 08:30-10:00
10:00
18:25
09:00
17:30
NETHERLANDS (A) 07:15-9:00
17:30
16:55
PORTUGAL (A) 06:15-08:00
08:00
SWEDEN (A) 08:00-09:00
09:00
FRANCE (A) 07:15-09:00
09:00
17:30
08:00
09:00:30
16:30
17:30
UK
SPAIN
IRELAND
SWITZERLAND
GERMANY
NORWAY
HUNGARY
ITALY
CZECH
REPUBLIC
AUSTRIA
POLAND^
EGYPT^
(A)
(A)
(A)
(A)
(A)
(A)
(A)
(A)
(A)
(A)
(A)
(A)
07:50-08:00
08:30-09:00:30
07:30-08:00
06:00-09:00
07:30-09:00/09:04
08:15-09:00
08:30-09:02
08:00-09:00:59
08:00-09:15 (SPAD)
08:00-09:10 (KOBOS)
08:00-09:01
08:00-09:00
GREECE (A) 10:15-10:30
MOROCCO (A) 09:00-10:00
BRAZIL (A) 09:45-10:00
CANADA (A) 07:30-09:30
16:30
17:25
08:00
09:00
09:00
09:00
09:02
09:00
16:28
17:20
17:30
17:20
17:00
17:25
09:15
16:00
09:01
09:00
(A) 16:00-16:07
17:30
10:30
16:10
14:30
10:30
17:00
10:00
15:25
10:00
09:30
USA (A) 07:00-09:30 (NASDAQ)
09:30
09:30
CHILE (A) 09:00-09:30
08:30
MEXICO
11:00
ARGENTINA
COLOMBIA
09:00
12:55
09:30
PERU (A) 09:00-09:30
New York Time 17 18 19 20 21 22 23 24 1am 2 3 4 5 6am 7 8 9 10 11 12
London Time 22 23 24 1am 2 3 4 5 6am 7 8 9 10 11 12 13 14 15 16 17
Tokyo Time 6am 7 8
9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 1am
* (A) = Auction
** Indonesia: on Fridays, first session ends at 11:30 and second session begins at 14:00.
*** Pakistan: on Fridays, (A) 09:00-09:15, 14:15-14:30, with two sessions from 09:15-12:00 and 14:30-16:00.
Notes
^ Egypt and Israel are open Sunday – Thursday.
^ Russia: RTS: Continuous Trading: 10:00-18:45
^ Poland: As of Jan 1, 2011 continuous trading will be extended until 17:20 with the closing auction fixing at 17:30.
Source: Credit Suisse Portfolio Strategy Group, Dec 16, 2010
(A) 13:25-13:30
(A) 17:00-17:06
(A) 16:45-16:50
Trading-at-Last – 16:50-17:00
Last Print-Shanghai
3min VWAP-Shenzhen
10:15-10:30
Median of 5 prices snapped
every 15secs from 15:59:00
Last Print
(A) 16:30-16:40. Random close
between 16:35 and 16:40
Last Print
VWAP over last 30mins
Last Print-RTS
VWAP over last 30mins – MICEX
Last Print
(A) 16:23-16:28
(A) 16:50-17:00
(A) 17:30-17:35
(A) 16:55 for 4.5mins with random
end before 17:00
end before 18:30
(A) 17:30-17:35
(A) 16:30-16:35
end before 17:30
(A) 17:30-17:35
(A) 16:30-16:35
(A) 17:30-17:35
(A) 16:28-16:30
(A) 17:20-17:30
(A) 17:30-17:35
(A) 17:20-17:25
(A) 17:00-17:05/17:06
(A) 17:25-17:30
13:00 15:00
09:30 12:00
Close
16:55
16:00
16:00
16:20/17:00
15:00
17:00
13:30
13 14 15 16
18 19 20 21
2 3 4 5
(A) 17:30-17:34
(A) 16:10-16:20
Day’s VWAP
(A) 17:00-17:03/17:04
(A) 15:25-15:30
(A) 16:55-17:00
(A) 15:40-16:00
(A) 15:45-16:00
Last Print
(A) 12:55-13:00
EXCHANGE DETAILS
EMEA........................................................... 27
Asia PAC...................................................... 57
Americas...................................................... 85
EXCHANGE DETAILS
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United States Of
America (New York)
Time: 10:09:00
Hours: 09:30 – 16:00
AMERICAS
Argentina
EDGE is Credit Suisse’s web portal
designed specifically for traders and
portfolio managers. Much of the information
contained in this handbook, as well as global
market holidays and an interactive global
settlement calendar, is available online in
our Market Guide section.
Online market guides contain
information about market hours,
circuit breakers, taxes, fees, short
selling rules and more!
Primary Exchange: NYSE, NASDAQ
Benchmark Index: S&P 500 (Bloomberg: SPX), DJIA (Bloomberg: INDU) and NASDAQ Composite (Bloomberg: CCMP)
Futures based on SPX, DJIA and NASDAQ 100
Market Hours
Monday – Friday:
NYSE
• Continuous Trading (09:30 to 16:00): The market opens with the auction around 09:30 and trades continuously on a price/time
priority basis.
NASDAQ
• Pre-Opening (07:00 to 09:28): Orders may be entered, modified or deleted to join the opening cross at 09:30.
• Opening Auction (09:28 to 09:30): Limit orders are treated as Imbalance-Only (IO) orders for the opening cross. Orders not fully
executed are returned. Can enter new IO orders but not modify or cancel existing ones. New Market Orders are not allowed.
• Continuous Trading (09:30 to 16:00): The market trades continuously on a price/time priority basis.
• Market on Close (15:45 to 16:00): On-Close orders must be entered prior to 15:45.
• Post Trading (16:00 to 20:00)
EUROPE
Settlement
T+3, DVP
MIDDLE EAST/AFRICA
Tax/Fees
SEC Fee: 0.169 bps (Gross), rounded up to the nearest US cent, on the sell side only.
Circuit Breakers
Market Wide: 10%, 20% and 30% declines in The Dow Jones Industrial Average. The numerical points are decided each quarter,
using the average closing from the previous month. Without a set designation, both NASDAQ and NYSE are each responsible for
halting each name.
Single Stock Trading Pause: Trading in certain securities will pause for a 5min period in the event the security experiences a 10%
change in price over the preceding 5mins.
Short Sell: Short sell restrictions described below become effective if a security declines by 10% from the previous day’s close.
Futures: Trading in futures will pause for 10mins given a 10% decline from previous day’s closing price. Trading pauses again for
10mins after a 20% decline from previous day’s closing price. The maximum daily limit is 30 percent. Trading can occur at or above
this limit and cannot trade below this limit.
Round Lot Sizes
100 shares for most stocks (both NYSE and NASDAQ).
Short Sell Rules
Effective February 28, 2011, if a security declines by 10% from the previous day’s close, short selling in that name will only be
permitted above the national best bid for the duration of that trading day as well as the following day. Dealer must declare short sell
and stock locate.
Clearer
The Depositary Trust Company (DTC)
Additional Info
Stock below $5 is non-marginable.
Brazil
Canada
Chile
Colombia
Mexico
Peru
United States Of America
ASIA PACIFIC
Please read the information that is contained in Important Legal Information.
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EMEA
Austria....................29
Belgium..................30
Czech Republic.......31
Denmark.................32
Egypt.......................33
Finland....................34
France.....................35
Germany.................36
Greece....................37
Hungary..................39
Ireland.....................40
Israel.......................41
Italy.........................42
Morocco..................43
Netherlands............44
Norway....................46
Poland.....................47
Portugal..................48
Russia.....................49
South Africa............50
Spain......................51
Sweden...................53
Switzerland.............54
Turkey.....................55
United Kingdom......56
EMEA
Austria
Primary Exchange: Wiener Bourse (WBAG)
Benchmark Index: Austrian Traded Index (Bloomberg: ATX)
Futures based on ATX
Market Hours
Monday – Friday:
• Pre-Opening (08:00 to 08:55): Orders may be entered, modified or deleted.
• Opening Auction (08:55 to 09:01): Orders may be entered, modified or
deleted during the Call phase (from 08:55 to 09:00). This is followed by a
Price Determination phase (up to 30secs, with a random ending) and, if there
is a surplus, a Market balancing phase (30secs).
• Continuous Trading (09:01 to 17:30): The market trades continuously on a
price/time priority basis.
• Closing Auction (17:30 to 17:34): Orders may be entered, modified or deleted
during the Call phase (from 17:30 to 17:33). This is followed by a Price
Determination phase (up to 30secs, with a random ending) and a Market
balancing phase (30secs).
• Post-Trading (17:34 to 17:45)
• Intraday Auction (12:00 to 12:04): Orders can be entered, modified or deleted
during the Call phase (from 12:00 to 12:03). This is followed by a Price
Determination phase (up to 30secs, with a random ending) and a Market
balancing phase (30secs).
Settlement
T+3, DVP
Circuit Breakers
Per-instrument thresholds are determined monthly but not published. Volatility
auctions last 2mins.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Requirement to report short positions above 0.25% to the FMA
(Financial Market Authority).
Restrictions: Short selling of banks, insurance companies.
Clearer
Oesterreichische Kontrollbank AG
Austria
Volume Data
3%
Volume (% of ADV)
2%
2%
1%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Belgium
Primary Exchange: NYSE Euronext Brussels
Benchmark Index: BEL 20 (Bloomberg: BEL20)
Futures based on BEL 20
Market Hours
Monday – Friday:
deleted prior to uncrossing.
prior to uncrossing.
• Trading-at-Last (17:35 to 17:40): Shares can be traded at their respective
closing prices.
• Special Auctions: Double fixing stocks are traded at 11:30 and 16:30. Single fixing stocks trade at 15:00. After each fixing, the stock trades for
another 30mins at the fixing price.
Settlement
T+3, DVP
Circuit Breakers
+/-10% (6% for BEL 20 stocks) from the dynamic reference price, which is
reset every time the market breaks its upside/downside threshold (last closing
price for the opening). If the traded price deviates more than +/-5% (3% for
BEL 20 stocks) from the last traded price the market stops for 2mins.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Reporting requirement for net short positions greater than 0.25% of
share capital and a request to abstain from lending financial company shares.
Restrictions: Ban on naked short selling of financial companies (except for ING
Group with a primary listing in the Netherlands).
Clearer
CIK (Caisse Interprofessionnelle de Depots et de Virements de Titres)
Belgium
Volume Data
3%
Volume (% of ADV)
2%
2%
1%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Czech Republic
Primary Exchange: Prague Stock Exchange (PSE)
Benchmark Index: PX Index (Bloomberg: PX)
Market Hours
Monday – Friday:
• Block trades (08:00 to 16:00)
• Automatic trades
Auction regime – Orders collection (08:00 to 08:45)
Auction regime (08:45 to 09:10)
Continual regime (09:10 to 16:00)
Closing auction (16:00 to 16:07)
• SPAD (09:15 to 16:00)
Settlement
T+3, DVP
Circuit Breakers
SPAD: If the midpoint of the allowable spread deviates by more than 20% from
the midpoint at the beginning of the open phase and does not return to within the
spread within 2mins trading is suspended for 15mins. If at least 3 market makers
apply for quotation during the suspension, the allowable spread is extended by
10% after the break, up to a maximum of +/- 50%. Trading is suspended every
time the next 10% spread level is exceeded.
Round Lot Sizes
1 share.
Volume Data
Czech Republic
14%
Volume (% of ADV)
12%
10%
8%
6%
4%
2%
0%
08:10 08:40 09:10 09:40 10:10 10:40 11:10 11:40 12:10 12:40 13:10 13:40 14:10 14:40
Denmark
Primary Exchange: OMX Nordic Exchange Copenhagen (OMX)
Benchmark Index: OMX Copenhagen 20 (Bloomberg: KFX)
Futures based on KFX
Market Hours
Monday – Friday:
price/internal/displayed/time priority basis.
• Closing Auction (16:55 – for 4.5mins with random end before 17:00): Orders
may be entered, modified or deleted prior to uncrossing.
Settlement
T+3, DVP
Circuit Breakers
Static limit – from the opening: 15% (10% for OMXC20); Dynamic limit: 5%
(3% for OMXC20). Suspension: 3min for static, 1min for dynamic.
Round Lot Sizes
1 share.
Short Sell Rules
Restrictions: Ban on both naked and covered short selling in stocks of certain
banks licensed in Denmark. The ban does not apply to market making, to
hedging activities or to share repurchases.
Clearer
Danish Securities Centre and EMCF
Denmark
Volume Data
10%
9%
Volume (% of ADV)
8%
7%
6%
5%
4%
3%
2%
1%
0%
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
16:55
Egypt
Primary Exchange: Cairo & Alexandria Stock Exchanges (CASE)
Benchmark Index: CASE 30 (Bloomberg: CASE)
Market Hours
Sunday – Thursday:
Listed Securities:
• Continuous Trading (10:30 to 14:30): The market trades continuously on a price/time priority basis. Crossing orders with the same buy and sell broker have the lowest priority. Orders with greater restrictions will also have
lower priority.
• Closing Price: The closing price is the day’s weighted average price (total value
traded/total volume traded), if more than 100 shares trade; otherwise, the
closing price is the previous day’s closing price.
Settlement
Buy: T+2
Sell: T+1, DVP
Clearer
MCDR (Misr for Clearing, Depository and Central Registry)
Additional Info
Investors must open a trading account with a member or brokerage firm
licensed by the Capital Market Authority. They also must open accounts with
custodians, so that the EGX can verify their outstanding balances prior to any sell
transactions. Account details must be provided with each order before trading is
allowed. Members must trade using the EGX Trading System, CTS.
Finland
Primary Exchange: OMX Nordic Exchange Helsinki (OMX)
Benchmark Index: OMX Helsinki 25 (Bloomberg: HEX25)
Futures based on HEX 25
Market Hours
Monday – Friday:
price/internal/displayed/time basis.
• Closing Auction (18:25 for 4.5mins with random end before 18:30): Orders
may be entered, modified or deleted prior to uncrossing.
• Post-Trading (18:30 to 19:00): Orders may be modified or deleted.
Settlement
T+3, DVP
Circuit Breakers
Static limit: 15% (10% for OMXH25 stocks)
Dynamic limit: 5% (3% for OMXH25 stocks)
Suspension: 3min for static, 1min for dynamic. Limits are higher for stocks in
the First North segment and penny stocks. The reference price for static limits is
usually the day’s opening price.
Round Lot Sizes
1 share.
Short Sell Rules
Only covered short selling is permitted. Broker does not need to declare short
sells to the Exchange.
Clearer
Euroclear and EMCF
Volume Data
Finland
6%
Volume (% of ADV)
5%
4%
3%
2%
1%
0%
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
France
Primary Exchange: NYSE Euronext Paris
Benchmark Index: CAC 40 (Bloomberg: CAC)
Futures based on CAC
Market Hours
Monday – Friday:
price/time basis.
closing prices.
• Special Auctions: Double fixing stocks are traded at 11:30 and 16:30. Single
fixing stocks trade at designated auction periods depending on the trading
group it belongs to. After each fixing, the stock trades for another 30mins at
the fixing price.
Settlement
T+3, DVP
Circuit Breakers
+/-10% (6% for CAC 40 stocks) from the dynamic reference price, which is reset
every time the market breaks its upside/downside threshold (last closing price for
the opening). If the traded price deviates more than +/-5% (3% for CAC 40 stocks)
from the last traded price the market stops for 2mins.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Each participant having a cumulated net economic short position
exceeding 0.25% of the capital of one of the financial companies involved, is
requested to report these positions to the AMF (Autorité des Marchés Financiers)
immediately, but not later than the next working day (T+1) after their realisation.
Restrictions: Request to abstain from lending financial company shares.
Foreign Ownership Ownerships exceeding any multiple of 5% (i.e. at 5%, 10%…) need to be
reported to the Conseil des Marches Financiers (CMF).
Clearer
Euroclear France
Volume Data
France
14%
Volume (% of ADV)
12%
10%
8%
6%
4%
2%
0%
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
16:55
Germany
Primary Exchange: Xetra (Deutsche Boerse)
Benchmark Index: DAX (Bloomberg: DAX)
Futures based on DAX
Market Hours
Monday – Friday:
• Pre-Trading (07:30 to 08:50): Orders may be entered, modified or deleted.
• Opening Auction (08:50/08:51 to 09:00/09:04, up to 30secs random
ending): Auction times vary by stock segment. Orders may be entered,
modified or deleted prior to uncrossing.
price/time priority basis except for the following two auctions.
• Intraday Auction (13:00/13:15 to 13:02/13:17, up to 30secs random
ending): Orders may be entered, modified or deleted to join the auction.
Auction times vary by stock segment. For DAX stocks on Eurex Settlement
days the Intraday Auction is from 13:00 to 13:05.
• Closing Auction (17:30 to 17:35, up to 30secs random ending): Orders may
be entered, modified or deleted prior to uncrossing.
• Single Auction Stocks (13:20 to 13:25, up to 30secs random ending): Orders may be entered, modified or deleted.
Settlement
T+2, DVP
Circuit Breakers
Activated when the maximum price range deviation is exceeded. The static price
corridor is the maximum percentage deviation from a reference price, generally
the last-held auction price. The dynamic price corridor is based on the last traded
price. All trade halts and suspensions are decided by DBAG.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Net short positions of 0.2% or more in selected financial companies
must be communicated to BaFIN (Federal Financial Supervisory Authority) as
of the close on the next trading day (i.e. T+1). Further notifications are required
when such positions change by 0.1% (up or down). Positions of 0.5% or more
are anonymously published on the homepage of BaFIN. This disclosure rule will
be extended to cover all German stocks as of March 26, 2012.
Restrictions: Naked short selling of German domiciled companies is banned globally,
irrespective of trading venue. Only positions held at the end of the day are relevant.
Intraday naked short selling is permitted. Naked short sales in government bonds
(denominated in Euro) admitted to trading on a German exchange is also banned.
Clearer
Eurex Clearing AG (CCP); Clearstream (German Central Securities Depository)
Germany
Volume Data
12%
Volume (% of ADV)
10%
8%
6%
4%
2%
0%
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
16:55
Greece
Primary Exchange: Athens Stock Exchange (ASE)
Benchmark Index: ASE General (Bloomberg: ASE), FTSE/ASE 20 Index (Bloomberg: FTASE)
Futures based on FTSE/ASE 20
Market Hours
Monday – Friday:
• Pre-Opening (10:15 to 10:30): Orders may be entered, modified or deleted
from 10:15 to 10:28. The opening auction takes place at a random time
between 10:28 and 10:30.
• Continuous Trading (10:30 to 17:00): Orders can be entered, modified, and deleted.
• Closing Auction (17:00 to a random time between 17:03 and 17:04): The auction is extended by 5 to 6mins if either the projected auction price
is greater than 2.5% from the last price or all the auction volume is based
on market orders. At the end of an extension, the auction proceeds unless
the projected auction price is greater than 2.5% from last and the projected
auction volume is less than 30% of the daily volume, or all the auction volume
is based on market orders. If the auction does not proceed, the closing price
will be based on the VWAP of the last 30% of a stock’s trading volume.
• Trading-at-Last (from end of the auction process to 17:20): Shares can be
traded at their respective closing prices.
• Intraday Auction (3rd Friday of the month: 13:45 to 14:00): Uncrossing takes
place randomly between 13:59 and 14:00.
Settlement
T+3, DVP
Tax/Fees
15 bps (Gross) sell side only; 3.25bps registration fee for both buy and sell side.
Circuit Breakers
Dynamic Price Range: +/- 2% from last trading price; stock stops trading for
8mins and then enters an auction for approx. 1min (Big, Mid & Small cap)
Static Price Range: +/- 10% trade range within the day; stock stops trading for
8mins and then enters an auction for approx. 1min (Big, Mid & Small cap)
Price Fluctuation Limits: +/-30% from previous closing price. Limits do not apply
in the first three days of a company’s listing. (Big caps)
Price Fluctuation Limits: +/-10% from previous closing price; stock stops trading
for 15mins then limit adjusts to +/-20%. Limits do not apply in the first 3 days of
a company’s listing. (Mid & Small caps)
Round Lot Sizes
1 share.
Block Trades
There is a €250k minimum value requirement for all stocks, except NBG which
has a minimum value requirement of €400k.
Blocks can be crossed at any price from 10:30 to 17:20.
Short Sell Rules
No ban on the short-selling, however naked short-selling is not permitted.
Clearer
Central Securities Depository (CSD)
Greece
Volume Data
10%
9%
Volume (% of ADV)
8%
7%
6%
5%
4%
3%
2%
1%
0%
10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 16:30 17:00
Hungary
Primary Exchange: Budapest Stock Exchange (BSE)
Benchmark Index: Budapest Stock Index (Bloomberg: BUX)
Futures based on BUX
Market Hours
Monday – Friday:
• Pre-Opening (08:30 to 09:00/09:01): Orders can be entered, modified
or deleted prior to uncrossing. The end of the Pre-Opening phase and the
beginning of the Opening Auction process occur simultaneously at a random
time within the quoted interval.
• Opening Auction (09:00/09:01 to 09:02)
• Continuous Trading (09:02 to 17:00): Orders can be entered, modified or
deleted. The market trades continuously on a price/time priority basis.
• Pre-Closing (17:00 to 17:05/17:06): Orders may be entered, modified
or deleted prior to uncrossing. The end of the Pre-Closing phase and the
beginning of the Closing Auction process occur simultaneously at a random
time within the quoted interval.
• Closing Auction (17:05/17:06)
• Closing Price Trading Period (17:06 – 17:10): Shares can be traded at their
respective closing price.
Settlement
T+3, DVP
Circuit Breakers
+/- 10% from the previous day’s closing price. Trading suspension lasts 2 to
15mins, at the discretion of the BSE.
Round Lot Sizes
1 share.
Volume Data
Hungary
8%
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
Ireland
Primary Exchange: Irish Stock Exchange (ISE)
Benchmark Index: ISEQ Overall Index (Bloomberg: ISEQ)
Market Hours
Monday – Friday:
• Pre-Trading (06:30 to 07:50): Orders may be entered, modified or deleted.
• Post-Trading (16:30 to 17:15): New orders can be entered and existing orders
can be modified or deleted. Participants can also input OTC deals. New orders
are present on the order book the following morning.
Settlement
T+3, DVP
Tax/Fees
• Levy: EUR 1.25, if (Gross) exceeds EUR 12,500, for both buy and sell sides.
• Stamp: 100bps (Gross + Commission), rounded to the nearest EUR cent, for the buy side only.
Circuit Breakers
If the price movements for individual shares exceed certain volatility limits, the
system will intervene to cease continuous trading and change the continuous
trading to an auction phase for that particular share for a short period of time.
Individual thresholds are not disclosed.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Requirement to report short positions to the FSA (Financial Services
Authority of Ireland). Each person having an economic interest involving 0.25%
or more of the issued share capital of the listed securities must disclose by 15:30
of each business day their identity, the company whose shares are held, and the
amount of the position.
Restrictions: Ban on any new short positions, including increases in existing short
positions, in Irish financials. The prohibitions do not apply to market makers. The ban does not apply to the sale of exchange-traded funds, option rights or
other financial instruments.
Clearer
Eurex Clearing AG
Volume Data
Ireland
12%
Volume (% of ADV)
10%
8%
6%
4%
2%
0%
07:55
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
Israel
Primary Exchange: Tel-Aviv Stock Exchange (TASE)
Benchmark Index: Tel Aviv 25 (Bloomberg: TA-25)
Market Hours
Sunday – Thursday:
• Opening Auction (Between 09:45 and 09:50): Orders can be sent to join the
opening auction from 09:00. The opening auction occurs randomly between
09:45 and 09:50. Orders cannot be modified after 09:40.
• Continuous Trading (09:50 to 16:14/16:15): Orders can be entered, modified
or deleted. The market trades continuously on a price/time priority basis. The market enters the closing auction phase at a random time between 16:14
and 16:15.
• Closing Auction (Between 16:23 and 16:28): Orders for the close may be
entered, modified or deleted as soon as the market enters the closing auction
(between 16:14 and 16:15). After 16:23 orders cannot be cancelled. The
closing auction occurs randomly between 16:23 and 16:28.
Settlement
T+3
Circuit Breakers
Stocks are suspended for 45mins following significant announcements (e.g. earnings, M&A, etc), or if the Tel Aviv-25 index fluctuates more than 8%
from the previous day’s close. Stocks are suspended for the entire day if the
fluctuation is more than 12%.
Round Lot Sizes
1 share.
Short Sell Rules
Only covered short selling is permitted.
Israel
Volume Data
6%
Volume (% of ADV)
5%
4%
3%
2%
1%
0%
09:45 10:15 10:45 11:15 11:45 12:15 12:45 13:15 13:45 14:15 14:45 15:15 15:45 16:15
Italy
Primary Exchange: Borsa Italiana
Benchmark Index: FTSE MIB (Bloomberg: SPMIB)
Futures based on SPMIB
Market Hours
Monday – Friday:
• Opening Auction (08:00 to 09:00, with up to 1min random ending): Orders may be entered, modified or deleted prior to uncrossing.
price/time priority basis from the end of the opening auction phase.
• Closing Auction (17:25 to 17:30, with up to 1min random ending): Orders can
Settlement
T+3, DVP
Circuit Breakers
Static: 10% (5% for S&P/MIB stocks) from the previous closing price/opening price.
Dynamic: 5% (3.5% for S&P/MIB stocks) from the last traded price.
Round Lot Sizes
1 share.
Short Sell Rules
Ban on short selling for companies increasing share capital until settlement of the transaction. The ban applies to short selling on Italian regulated markets. The ban does not apply to short selling outside the Italian regulated markets, to the trading of derivatives or to market maker activities.
Clearer
CCMG
Volume Data
Italy
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
08:55
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Morocco
Primary Exchange: Casablanca Stock Exchange (CSE)
Benchmark Index: Morocco All Shares Index MASI (Bloomberg: MOSENEW)
Market Hours
Monday – Friday:
The Central Market is divided into three equity markets – the main market, the development market, and the growth market (with companies in each
determined by size, shares outstanding and number of certified financial years).
Trading is as follows:
• Pre-Opening (09:00 to 10:00): Orders of the most liquid securities (“Group 1”)
may be submitted to the system to trade at the open.
• Open (10:00): Orders are matched and an opening price is displayed.
price/time basis.
• Pre-Close (15:25 to 15:30): Orders are entered to trade at the close.
• Close (15:30): Orders entered at pre-close are matched, if possible, and a
closing price is displayed.
• Trading at Last (15:30 to 15:35): Shares can be traded at their respective
closing prices.
• Special Auction: For securities of average liquidity (“Group 3”), a pre-open is
held at 09:00, in which orders may be entered onto the book. Three separate
auctions are then held at 11:00, 13:00, and 15:00, at which orders are
matched and a price is displayed.
• Secondary lines of Groups 1 and 3 securities are quoted on a continuous basis
at 09:00, with Open at 14:30 and 15:15, respectively, and Close at 15:30.
• A separate Block-Trade Market exists for OTC trades, which must meet a
minimum block size (according to liquidity and volume traded). The block must
trade at a price given by the Central Market – either the auction price or within
a range as defined by continuous trading.
Settlement
T+3, DVP
Tax/Fees
Exchange fees: 10bps on gross value for both buy and sell side.
Circuit Breakers
The Casablanca Stock Exchange reserves the right to temporarily suspend any
transactions or to limit price movements, if in the interests of the market.
Clearer
The Casablanca Stock Exchange
Netherlands
Primary Exchange: NYSE Euronext Amsterdam
Benchmark Index: AEX (Bloomberg: AEX)
Futures based on AEX
Market Hours
Monday – Friday:
closing prices.
group it belongs to. After each fixing, the stock trades for another 30mins at
the fixing price.
Settlement
T+3, DVP
Circuit Breakers
+/-10% (6% for AEX stocks) from the dynamic reference price, which is reset
every time the market breaks its upside/downside threshold (last closing price for
the opening). If the traded price deviates more than +/-5% (3% for AEX stocks)
from the last traded price the market stops for 2mins.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Persons with a net economic short position of more than 0.25% of
the capital of one of the financial companies listed are requested to report these
positions to AFM (Authority for Financial Markets) no later than the day after
acquiring the position. The relevant denominator for the calculation of net short
positions is the total issued share capital of the financial company comprising
ordinary shares or preference shares. Short positions of multiple funds of
discretionary fund managers must be aggregated in order to determine whether a
disclosable position exists. Short selling ban lifted as of June 1, 2009. Securities
covered by the disclosure regime are any instrument (contracts for differences,
spread bets, options, ADR’s, etc) giving rise to an exposure, whether direct
or indirect, to the total issued share capital of a financial company. The list of
financial companies is provided by AMF. The issued share capital of a financial
company would include ordinary shares and preference shares but would exclude debt securities. Market Makers are exempt from the new short selling
disclosure regime.
Clearer
NECIGIF
Netherlands
Volume Data
14%
12%
Volume (% of ADV)
10%
8%
6%
4%
2%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Norway
Primary Exchange: Oslo Stock Exchange (OBX)
Benchmark Index: OBX (Bloomberg: OBX)
Futures based on OBX
Market Hours
Monday – Friday:
• Opening Auction (09:00, random 30secs): The actual opening time for a
specific stock may change due to Price Monitoring Extensions (PME) and/or
Market Order Extensions.
price/counterparty/visibility/time basis.
• Close Auction (fixing at 17:25, random 30secs): The actual closing time for a
specific stock may change due to Price Monitoring Extensions and/or Market
Order Extensions.
Settlement
T+3, DVP
Circuit Breakers
An abnormal price movement or any other unexpected event may activate a
break. Limits are set per-share. Suspension: 3 to 5mins. Matching may be halted
before intersystem announcements.
Round Lot Sizes
1 share.
Short Sell Rules
Naked short selling is not permitted. The prohibition applies to all financial
instruments in Norway, notwithstanding whether the financial instrument is listed
on a financial market or not.
Clearer
Norwegian Registry of Securities
Norway
Volume Data
8%
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Poland
Primary Exchange: Warsaw Stock Exchange (WSE)
Benchmark Index: WSE WIG 20 (Bloomberg: WIG20)
Futures based on WIG20
Market Hours
Monday – Friday:
• Continuous Trading (09:00 to 16:10): Orders can be entered, modified, and
deleted. The market trades continuously on a price/time priority basis.
• Next Day Pre-Open Period (16:30 to 16:35): Orders may be submitted for the
following trading day’s pre-open period.
Auction System: Uncrossing takes place at 11:15 and 15:00. Auctions are
preceded by a 15min intervention (no new orders) and followed by 30mins of
trading at the auction price.
Settlement
T+3, DVP
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Each short sell order submitted to the Exchange must bear a
special designation (short sale flag) to differentiate it from other brokers’ orders
according to the standard defined by the Exchange.
Restrictions: Short selling is prohibited for securities that are not on the list of
securities available for short selling.
Additional Info
As of January 1, 2011 continuous trading will be extended until 17:20 with the
closing auction occurring at 17:30.
Poland
Volume Data
9%
8%
Volume (% of ADV)
7%
6%
5%
4%
3%
2%
1%
0%
09:25 09:55 10:25 10:55 11:25 11:55 12:25 12:55 13:25 13:55 14:25 14:55 15:25 15:55
Portugal
Primary Exchange: NYSE Euronext Lisbon
Benchmark Index: Portuguese Stock Index 20 (Bloomberg: PSI20)
Futures based on PSI 20
Market Hours
Monday – Friday:
closing prices.
group of the stock. After each fixing, the stock trades for another 30mins at
the fixing price.
Settlement
T+3, DVP
Circuit Breakers
+/-10% (6% for PSI 20 stocks) from the dynamic reference price, which is reset
every time the market breaks its upside/downside threshold (last closing price
for the opening). If the traded price deviates more than +/-5% (3% for PSI 20
stocks) from the last traded price the market stops for 2mins.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: The CMVM (Portuguese Securities Market Commission) requires
daily reporting of information on short selling transactions that exceed 0.25% of
the firm’s capital.
Restrictions: Ban on short selling in financial companies.
Foreign Ownership No general restrictions. A simple notification is needed, for statistical purposes,
Restrictions
to the Investimentos Comercio e Turismo de Portugal (ICEP) within 30 days
following the transaction.
Clearer
Central de Valores Mobiliarios (CENTRAL)
Portugal
Volume Data
12%
Volume (% of ADV)
10%
8%
6%
4%
2%
0%
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
Russia
Primary Exchange: Moscow Interbank Currency Exch (MICEX), RTS Stock Exchange (RTS)
Benchmark Index: MICEX Index (Bloomberg: INDEXCF), RTS Index (Bloomberg: RTSI$)
Futures based on RTS
Market Hours
Monday – Friday:
MICEX
• Pre-Opening (10:15 to 10:30): Orders may be entered, modified or deleted to
join the opening auction at 10:30.
price/time basis.
• Closing Print: VWAP over the last 10mins.
RTS
price/time priority basis. The first print is the opening price.
Settlement
MICEX: Buy: T+5
Sell: T+3
RTS: T+4
Both ruble and foreign currency settlement is allowed.
Circuit Breakers
+/- 20% from the opening price triggers a 1hr halt. 30% from the opening price
or 25% from the previous day’s close on opening triggers an indefinite halt.
(MICEX)
Round Lot Sizes
1 share.
Short Sell Rules
Short selling is permitted.
Russia
Volume Data
5%
4%
Volume (% of ADV)
4%
3%
3%
2%
2%
1%
1%
0%
07:30
09:30
11:30
13:30
15:30
South Africa
Primary Exchange: Johannesburg Stock Exchange (JSE)
Benchmark Index: FTSE/JSE Africa Top 40 (Bloomberg: TOP40)
Futures based on TOP40
Market Hours
Monday – Friday:
join the opening auction at 09:00.
price/time priority basis through the JET (Johannesburg Equities Trading) system.
to join the closing auction at 17:00.
Settlement
T+5
Tax/Fees
25bps (Gross) on the buy side only.
Circuit Breakers
5% in continuous trading, 10% in opening and closing auctions in leader stocks
and SA/UK dual listed shares; and 10% in continuous trading, 20% in opening
and closing auctions in medium liquid non-leader stocks. Less liquid and
specialist products have no limits.
Round Lot Sizes
1 share.
Volume Data
South Africa
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
Spain
Primary Exchange: Bolsas y Mercados Espanoles (BME) (comprises the regional stock
exchanges in Madrid, Barcelona, Bilbao, and Valencia)
Benchmark Index: IBEX 35 (Bloomberg: IBEX)
Futures based on IBEX
Market Hours
Monday – Friday:
• Opening Auction (08:30 to 09:00, with 30sec random end time): Orders may
• Continuous Trading (09:00:30 to 17:30): The market trades continuously after
the end of the opening auction process on a price/time basis.
• Closing Auction (17:30 to 17:35, with 30sec random end time): Orders may
be entered, modified or deleted prior to uncrossing. If there is no auction price
or if less than 500 shares are traded in the auction, the closing price is the
price closest to the weighted average price of the last 500 shares.
• Fixing Market (08:30 to 12:00 and 12:00 to 16:00, both 30sec random end
time): Orders may be entered, modified or deleted to join the two auctions for
Exchange published names.
Settlement
T+3, DVP
Circuit Breakers
Activates when either the static or dynamic price limits are exceeded. An auction
follows the break, lasting 5mins with a 30sec random end.
Round Lot Sizes
1 share.
Block Trades (09:00 to 17:30) Agreed blocks: A +/-1% fluctuation from the mid
point on main trading. The size of the trade must meet conditions on average
daily turnover.
Parameterized blocks: Trades are permitted with a maximum divergence from
the static price of 15% where the size of the trade exceeds EUR 500k and
represents at least 5% of the average daily turnover.
Short Sell Rules
Disclosure: Investors are required to disclose their short positions on any stock or
cuota participativa (non-voting stocks issued by Spanish savings banks), admitted
to trading in Spanish official secondary markets. Investors are required to disclose
to the CNMV (Spanish Regulator Comisión Nacional del Mercado de Valores)
when the short position exceeds 0.2% of the outstanding capital admitted
to trading. In addition, investors also have to declare changes in a previously
communicated position when it falls below that percentage. Finally, whenever an already communicated position trespasses (downwards or upwards) one tenth
of a percentage point of the issued shares, an update has to be provided.
All notifications about short positions that exceed 0.5% of the outstanding
capital will be published on the CNMV website, including the identity of the
holder. CNMV will also publish the aggregated amount of short positions that are
communicated but not individually posted (since they are above 0.2% but below
0.5%). Investors holding a short position above 0.2% when these measures
come into effect are obliged to communicate their positions to the CNMV under
the new requirements.
Clearer
Clearing and Settlement Service (IBERCLEAR)
Spain
Volume Data
25%
Volume (% of ADV)
20%
15%
10%
5%
0%
08:55
09:55
10:55
11:55
12:55
13:55
14:55
15:55
16:55
Sweden
Primary Exchange: NASDAQ OMX Stockholm (OMX)
Benchmark Index: OMX Stockholm 30 (Bloomberg: OMX)
Futures based on OMX
Market Hours
Monday – Friday:
price/internal/displayed/time priority basis.
• Closing Auction (17:25 for 4.5mins with a random end before 17:30): Orders may be entered, modified or deleted prior to uncrossing. Stocks uncross randomly within that time period.
Settlement
T+3, DVP
Circuit Breakers
Static limits: 15% (10% for OMXS30 stocks),
Dynamic: 5% (3% for OMXS30 stocks).
Suspension: 3min for static, 1min for dynamic. Limits are higher for First North
segment and penny stocks. The reference price for static limits is usually the
day’s opening price.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Share lending has to be reported by the broker to the Exchange.
When short selling, both the sale and the repurchase of the shares are notifiable
by T+5.
Restrictions: No restrictions apply.
Clearer
Euroclear and EMCF
Volume Data
Sweden
9%
8%
Volume (% of ADV)
7%
6%
5%
4%
3%
2%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Switzerland
Primary Exchange: SIX Swiss Exchange (SIX), Blue Chip Segment
Benchmark Index: Swiss Market Index (Bloomberg: SMI)
Futures based on SMI
Market Hours
Monday – Friday:
price/time basis.
Settlement
T+3, DVP
Tax/Fees
Stamp: 7.5 bps (Gross) on buy and sell. There are a variety of ways for clients to
obtain exemption from the Stamp Tax.
Circuit Breakers
Continuous trading suspended for 5mins if the potential subsequent price differs
by more than
a) 1.5% from the current reference price.
b) 1.5% from a reference price valid within 10secs (Avalanche stop).
In certain cases, the Exchange may adjust these parameters on short notice.
Round Lot Sizes
1 share.
Short Sell Rules
All tradable securities in Switzerland are prohibited from naked stock short selling.
The prohibition applies to all market participants.
Clearer
SIX SIS AG (formally SEGA, SEGA-Intersettle)
Switzerland
Volume Data
3%
Volume (% of ADV)
2%
2%
1%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Turkey
Primary Exchange: Istanbul Stock Exchange (ISE)
Benchmark Index: ISE National 100 (Bloomberg: XU100)
Futures based on ISE 30
Market Hours
Monday – Friday:
Morning Session
• Opening Auction (09:30 to 09:45): Orders can be entered, modified or deleted.
• Matching of Auction Orders (09:45 to 09:50)
• Continuous Trading (09:50 to 12:30)
Afternoon Session
• Opening Auction (14:00 to 14:15): Orders can be entered, modified or deleted.
• Matching of Auction Orders (14:15 to 14:20)
• Continuous Trading (14:20 to 17:30)
• Closing Price (17:30): Last traded price.
All orders in the system, unless they are executed in the market, can be
cancelled subject to a fee of 0.025bps of the order value.
Settlement
T+2, DVP
Circuit Breakers
+/- 10% from the previous session’s VWAP. The ISE can also suspend trading
at any time.
Round Lot Sizes
1 share.
Tick Sizes
Price Range 0.01 – 5.00
5.02 – 10.00
10.05 – 25.00
25.10 - 50.00
50.25 – 100.00
100.50 – 250.00
251.00 – 500.00
502.50 – 1,000.00
Above 1,005.00
Volume Data
Tick Sizes (TL)
0.01
0.02
0.05
0.10
0.25
0.50
1.00
2.50
5.00
Turkey
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:50
10:50
11:50
12:50
13:50
14:50
15:50
16:50
United Kingdom
Primary Exchange: London Stock Exchange (LSE)
Benchmark Index: FTSE All Share (Bloomberg: ASX)
Futures based on FTSE 100
Market Hours
Monday – Friday:
Settlement
T+3, DVP
Tax/Fees
• Levy: GBP1 for tickets in excess of £10,000.
• Stamp: 50bps (Gross + Commission), rounded to the nearest pence, on the
buy side only.
Circuit Breakers
5% to 25% tolerance levels (depending on the trading segment of the security).
If these levels are breached, an intraday suspension takes place. This lasts for
5mins until the stock uncrosses or the offending order is removed.
Round Lot Sizes
1 share.
Short Sell Rules
Disclosure: Public disclosure must be made if a net short position exceeds
0.25% of a relevant firm’s issued shared capital, with further disclosure required
if there are changes of 0.1% in the position (i.e. at 0.35%, 0.45% etc.).
Clearer
CREST
Additional Info
Irish stocks trading in London are subject Irish stamp duty (i.e. 100bps (Gross +
Commission) rounded to the nearest EUR cent, for the buy side only).
United Kingdom
Volume Data
10%
9%
Volume (% of ADV)
8%
7%
6%
5%
4%
3%
2%
1%
0%
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
Asia PAC
Australia..................59
China......................61
Hong Kong..............63
India........................65
Indonesia................67
Japan......................68
Korea......................70
Malaysia..................72
New Zealand...........74
Pakistan..................75
Philippines..............77
Singapore...............78
Sri Lanka.................79
Taiwan.....................80
Thailand..................82
Vietnam...................84
Asia PAC
Australia
Primary Exchange: Australian Securities Exchange (ASX)
Benchmark Index: S&P/ASX 200 (Bloomberg: AS51)
Futures based on S&P/ASX200, S&P/ASX50, S&P/ASX 200 Property Trusts Indexes
Market Hours
Monday – Friday:
• Pre-Opening (07:00 to 10:00/10:09): Alphabetically staggered opening.
Orders may be entered, modified, or deleted to join the opening auction at 10:00.
• Normal Trading (10:00 to 16:00): Brokers may enter orders, resulting in
trades continuously on a price/time priority basis.
• Pre-Closing Single Price Auction (16:00 to 16:10): Trading stops and brokers
enter, change and cancel orders in preparation for the market closing.
• Closing Single Price Auction (16:00 to 16:10/16:12): Orders may be entered,
modified or deleted to join the closing auction at 16:10. Actual close is a
random time up to 59secs after 16:10; late closings have been abolished. No market orders are allowed. Closing auction ends at 16:12.
• Adjust (16:12 to 17:00): Brokers may “tidy up” their orders by cancelling
unwanted orders, amending orders, etc. New orders cannot be entered nor
can trades be executed.
• Overnight Trading (16:12 to 18:50/19:00): Transactions may be agreed
overnight between brokers/clients and reported the following day.
Settlement
T+3, DVP
Tax/Fees
No tax for offshore accounts. 10% GST * (Commission) for onshore accounts only.
Circuit Breakers
No circuit breakers or daily price movement limits.
Round Lot Sizes
1 share.
Tick Sizes
Market Price Up to 10c Over 10c up to $2.00 Over $2.00 up to $998.99 Over $999 Short Sell Rules
Only “covered” short sales are permitted (i.e. before the person enters into the
contract of sale, they have entered into or gained the benefit of a securities
lending arrangement; and at the time of the sale, the person intends that the
securities ending arrangement will ensure that all of the products that are the subject of the sale can be transferred to the buyer. Naked short sales are prohibited except where ASIC has given relief in certain circumstances.
Short selling permitted for stocks under takeover offer. Short positions ≥ AUD
100,000; and 0.01% of total quantity of securities in the relevant class reported
to ASIC daily. Securities On-Loan and Borrowed Positions reported to ASX daily.
Securities Committed Position per security reported to ASX quarterly.
Short access available via swap.
Minimum Bid
0.1c
0.5c
1.0c
$1.00
Crossing
Either special or on-market. Special crossings (including large trades and
portfolios) may take place off-market at any time, including during Normal
Trading. Depending upon the type, the minimum consideration (total sale price)
ranges between $1MM and $5MM. During takeover, crossings can only occur on market, at market price. During on market buy back, where CS acts for the
bidder, crossings must be on market, at market price. During a takeover, late overseas and overnight crossings, must not be at or below the offer price.
Single Stock: Any stock, unless under takeover, worth at least AUD 1M (500K
for warrants), can be put through at market price. Under AUD 1MN, needs to be
crossed on market, at or in between market prices.
Portfolio: Minimum of 10 Stocks each worth AUD 200K with a total of AUD 5M
can be put to the market at any price.
Offshore: If at least one side of an order is taken after market hours, a stock can
be put through the market the next morning before 09:45 at an agreed price, as long as the client’s home exchange is open at the time the deal is executed.
All crossings require a change of beneficial ownership.
Foreign Ownership A foreign investor requires the prior approval of the Foreign Investment Review
Restrictions
Board (FIRB) when the overseas ownership of Australian companies exceeds
15% per shareholder or 40% overall foreign holdings. Notably, there are other
rules concerning the media, transportation and banking sectors.
Clearer
Australian Stock Exchange Settlement & Transfer (ASTC)
Australia
Volume Data
9%
8%
Volume (% of ADV)
7%
6%
5%
4%
3%
2%
1%
0%
10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00
China
Primary Exchanges: Shanghai Securities Exchange (SHSE), Shenzhen Stock Exchange (SZSE)
Benchmark Index: CSI 300 (composite of both Shanghai & Shenzhen) (Bloomberg: SHSZ300)
Market Hours
Monday – Friday:
• Opening Call Auction (09:15 to 09:25): Orders cannot be cancelled between
09:20 and 09:25.
• Continuous Trading (09:30 to 11:30 and 13:00 to 15:00): The market trades
continuously on price/time basis.
• The closing price for Shenzhen is the VWAP of the last 3mins (closing call
auction from 16:57 to 17:00): There are no closing auctions at the Shanghai
Stock Exchange.
Settlement
T+3 for B shares (T+1 for A shares), DVP
Tax/Fees
Stamp Duty
Clearing Fee
Trading Fee
Levy
Stamp Duty
Clearing Fee
Trading Fee
Levy
Round Lot Sizes
100 shares on the buy side and 1 share on the sell side.
Tick Sizes
SHSE B Shares Min Price Fluctuation (USD)
0.001
A Shares: RMB 0.01
Short Sell Rules
Not permitted.
Crossing
Shanghai A Shares: At least 500,000 shares or RMB 3M (adjusted for market
conditions) can be traded within the intraday low and intraday high or last price (if no transactions recorded for the day) and must be registered with the
Exchange from 15:00 to 15:30 on the same day. If the stock is suspended
before 15:00, there is no block trading.
Shanghai B Shares: Must be at least 500,000 shares or USD 300K and placed
by floor traders with confirmation of floor supervisors between 09:45 and market
close. Trading must be within the intraday low and intraday high or the previous
close and last price (if only one trade is recorded for the day) or closing price (if no trades are recorded for the day).
Shenzhen B Shares: At least 50,000 shares or HKD 300K amount. No amendments can be made to crossings.
SHSE B (bps)
10 bps (Gross) Sell only
5 bps (Gross)
0.4 bps (Gross)
2.6 bps (Gross)
SHSE A (bps)
0.4bps (Gross)
5 bps of share
1.1 bps (Gross)
SZSE B (bps)
5 bps (Gross)
0.4 bps (Gross)
3.01 bps (Gross)
SZSE A (bps)
0.4 bps (Gross)
–
1.48 bps (Gross)
SZSE B Shares
Min Price Fluctuation (HKD)
0.01
Clearer
China Securities Central Clearing & Registration Corporation in Shanghai and
Shenzhen Securities Settlement Company in Shenzhen
China
Volume Data
4%
Volume (% of ADV)
3%
2%
1%
0%
09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00
Hong Kong
Primary Exchange: Stock Exchange of Hong Kong (SEHK)
Benchmark Index: Hang Seng (Bloomberg: HSI)
Futures based on HIS
Market Hours
Monday – Friday:
until 09:45. From 09:45 to 09:50, only market orders are allowed.
• Continuous Trading (10:00 to 12:30 and 14:30 to 16:00): Market trades
continuously on a price/time priority basis. Orders must be within 24 ticks
up/down of nominal price. During the break, orders cannot be amended until
14:30, but can be cancelled after 14:00.
• Closing Price Setting (15:59 to 16:00): The closing price is the median of 5 prices taken every 15secs starting from 15:59:00.
Settlement
T+2, DVP. Buy In: Day after fail (T+3).
Tax/Fees
Stamp: 10 bps * (Gross), rounded up to the nearest HKD.
Levy: 0.3 bps * (Gross), rounded mathematically to the nearest HK cent.
Trading Fee: 0.5 bps * (Gross), rounded mathematically to the nearest HK cent.
Circuit Breakers
+/- 24 spreads from the nominal price. Maximum order size of 3,000 lots.
Round Lot Sizes
Various lot sizes, decided by the issuer.
Tick Sizes
Stock Price/Share (HKD) 0 – 0.250
0.25 – 0.50
0.50 – 10.00
10.00 – 20.00
20.00 – 100.00
100.00 – 200.00
200.00 – 500.00
500.00 – 1,000.00
1,000.00 – 2,000.00
2,000.00 – 5,000.00
5,000.00 – 10,000.00
Short Sell Rules
Must be a SEHK approved short sale stock and must be a covered short sell.
Naked short selling is prohibited. The broker must flag the order as a “short sell”
and the order must be placed at or above the best current ask price.
Crossing
No limit on quantity or value but price should be within the range of the lowest of
24 spreads below the previous closing price, the lowest bid and the lowest ask
price up to the time of the transaction on the day and the highest of 24 spreads
above the previous closing price, the highest bid and the highest ask price up
to the time of the transaction on the day. Cross trades need to be reported to
the Exchange within 15mins of execution or within 15mins of open on the next
trading day for crosses executed after market close.
Clearer
Hong Kong Securities Clearing Company Limited (HKSCC)
Min Price Fluctuation (tick)
0.001
0.005
0.01
0.02
0.05
0.1
0.2
0.5
1
2
5
Additional Info
HKSE will extend its market hours in 2 phases. Effective March 7, 2011, the
continuous trading session will be from 09:30 to 12:00 and then from 13:30 until
16:00. Beginning on March 5, 2012 the continuous trading session will be from
09:30 to 12:00 and then from 13:00 until 16:00. Day after fail (T+3).
Hong Kong
Volume Data
10%
9%
Volume (% of ADV)
8%
7%
6%
5%
4%
3%
2%
1%
0%
10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30
India
Primary Exchange: Bombay Stock Exchange (BSE), National Stock Exchange (NSE)
Benchmark Index: BSE Sensex (Bloomberg: SENSEX), S&P CNX Nifty (Bloomberg: NIFTY)
Futures based on SENSEX and NIFTY
Market Hours
Monday – Friday:
Order Entry Period (09:00 to 09:07/08): Order addition, modification or
cancellation. Random stoppage time between the 7th and 8th min. Dissemination
of Indicative Price, Cumulative buy and sell quantity and indicative index. Uniform
price band of 20% is applicable.
Order Matching and Confirmation Period (09:08 to 09:12): No order addition,
modification or cancellation. Opening price determination, order matching and
trade confirmation.
Buffer Period (09:12 to 09:15): To facilitate the transition between the pre-open
and continuous trading sessions.
Continuous Trading Session (09:15 to 15:30) and (for NSE) Closing Session
(15:50 to 16:00): The market trades continuously on a price/time priority basis.
The closing price is the VWAP of all trades in the last 30mins of the continuous
trading session. However, if no trade occurred during the last 30mins, the last
traded price in the trading session is the closing price.
Settlement
T+2, Clearing House or DVP (where custodian confirmation fails). For details,
please check
bseindia.com/about/tradnset.asp and
nseindia.com/content/nsccl/nsccl_eqrollsett.htm
Tax/Fees
Securities Transaction Tax: 12.5 bps * (Gross)
Stamp Duty: 0.01%
Service Tax: 10.3% on brokerage
Circuit Breakers
NSE Price Bands: nseindia.com/content/equities/eq_pricebands.htm
NSE Circuit Breakers: 10% (one-hour market halt), 15% (two-hour market halt)
and 20% (end of trading for the day) up or down on the BSE Sensex or the NSE
S&P CNX Nifty.
BSE: bseindia.com/mktlive/circuit_filter/summary/cktsummary.asp
Round Lot Sizes
Generally 1 share but varies for each company depending upon the market lots
determined by the company.
Short Sell Rules
Short Sell: Permitted but highly restrictive. Naked short selling is prohibited. No up-tick rules applied. Orders must be flagged as “short sell” to the Exchange.
Net short sell position must be reported to the Exchange at the end of the day.
Long Sell: Purchased assets can only be sold after settlement (T+3).
Crossing
All crosses must be executed on the Exchange. Block trades should be of a
minimum quantity of 500k shares or minimum value of Rs. 50M whichever is lower.
Foreign Ownership Foreign investors can collectively hold 24% of the paid up capital of an Indian
Restrictions
company and 20% of the paid up capital in the case of public sector banks. The limit may be raised up to the sector cap/statutory ceiling, subject to the
approval of the board and the general body of the company.
India
Volume Data
6%
Volume (% of ADV)
5%
4%
3%
2%
1%
0%
09:55 10:25 10:55 11:25 11:55 12:25 12:55 13:25 13:55 14:25 14:55 15:25 15:55
Indonesia
Primary Exchange: Indonesia Stock Exchange (IDX)
Benchmark Index: JSX Composite (from former Jakarta Stock Exchange) (Bloomberg: JCI)
Market Hours
Monday – Thursday:
• Pre-Opening (09:10 to 09:25)
• Morning Session (09:30 to 12:00): The market trades continuously on a
price/time priority basis. The first print is the opening price (if there is no pre-opening price).
• Afternoon Session (13:30 to 16:00): The market trades continuously on a
price/time priority basis. The Last Print is the closing price.
Friday:
• Morning Session (09:30 to 13:30): Market trades continuously on a price/time priority basis. The first print is the opening price (if there is no pre-opening price).
• Afternoon Session (14:00 to 16:00): Market trades continuously on a price/time priority basis. The Last Print is the closing price.
Settlement
T+3, DVP
Tax/Fees
Levy: 4.3 bps (Gross) on both buys and sells.
VAT: 10% (Commission) on the buys and sells.
Sales Tax: 10 bps (Gross) on sells only.
Circuit Breakers
Stocks may not trade outside of the previous closing price by the percentage
indicated in the price ranges below:
Below 50 IDR: auto reject
50 to 200 IDR: 35% change
200 to 5,000 IDR: 25% change
5,000 and above: 20% change
Round Lot Sizes
500 shares. 500 rights. Trading odd lots can be very difficult in Indonesia; the odd lot market is very illiquid without any special board. Brokers have to find a willing counterparty.
Tick Sizes
Stock Price/Share (IDR) 0 – 200
200 – 500
500 – 2,000
2,000 – 5,000
5,000 +
Short Sell Rules
Permitted for designated securities only. Failure to deliver on settlement will result
in “Alternate Cash Settlement” which is 125% of the 3-days highest price of the
traded stock.
Crossing
No limit on quantity or value; no transaction price limit. Every cross transaction
has to go through the Exchange. Settlement can take place at any time with
agreement of both counterparties.
Clearer
Indonesian Clearing and Guaranteed Corp. (PT KPEI)
Minimum Price Fluctuation (IDR)
1
5
10
25
50
Japan
Primary Exchange: Tokyo Stock Exchange (TSE)
Benchmark Index: Nikkei 225 (Bloomberg: NKY), TOPIX (Bloomberg: TPX)
Futures based on Nikkei 225 and TOPIX
Market Hours
Monday – Friday:
• Morning Session Pre-Opening (08:00 to 09:00): Orders may be entered,
modified or deleted to join the opening auction at 09:00.
price/time priority basis. An auction decides the closing price at 11:00.
• Afternoon Session Pre-Opening (12:05 to 12:30): Orders may be entered,
modified or deleted to join the opening auction at 12:30.
price/time priority basis. An auction decides the closing price at 15:00.
Settlement
T+3, DVP
Circuit Breakers
Daily price limits are based on stocks’ previous closing prices. For details, please
see tse.or.jp/english/faq/list/stockprice/p_g.html
Round Lot Sizes
Lots range as follows: 1/10/50/100/500/1,000/2,000/3,000
Tick Sizes
Stock Price/Share (JPY)
0 – 2,999
3,000 – 4,995
5,000 – 29,990
30,000 – 49,950
50,000 – 299,900
300,000 – 499,500
500,000 – 2,999,000
3,000,000 – 4,995,000
5,000,000 – 29,990,000
30,000,000 – 49,950,000
50,000,000 +
Short Sell Rules
Only covered short sells are allowed. Orders must be flagged as a “short sell”
to the Exchange. Any new short positions of over 0.25% of outstanding shares
must be disclosed to the Exchange on a T+2 basis. Up-tick rule applies to short
sells. A number of exemptions exist including those for hedging and arbitrage.
Crossing
There are no special restrictions for offshore crossing in Japan.
Clearer
Japan Securities Depository Center (JASDEC)
Minimum Price Fluctuation (JPY)
1
5
10
50
100
500
1,000
5,000
10,000
50,000
100,000
Additional Info
In 2011 the TSE morning session will be extended by 30mins to 11:30 JST, with the lunch break shortening to 1hr. TSE short-selling rules around capital
raising will also be revised.
Japan
Volume Data
18%
16%
Volume (% of ADV)
14%
12%
10%
8%
6%
4%
2%
0%
09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30
Korea
Primary Exchange: Korea Exchange (KRX)
Benchmark Index: KOSPI Index (Bloomberg: KOSPI)
Futures based on KOSPI 200
Market Hours
Monday – Friday:
• Pre-Opening (08:00 to 09:00 for KOSPI and 07:50 to 09:00 for KOSDAQ):
Orders may be entered, modified or deleted to join the opening auction at 09:00.
• Pre-Open Off Market Crossings (07:30 to 08:30)
to join the closing auction at 15:00.
• Post Market Auction (15:00 to 15:10): Orders, including odd lots, may be
entered, modified or deleted to trade at the closing price (not trade, but
quotation time).
• Off-hours Closing Price Trading (15:10 to 15:30): Shares can be traded at the
closing prices.
• Off-hours Single Price Trading (15:30 to 18:00): Shares can be traded via
auction every 30mins (+/-5% from closing price).
Settlement
T+2, DVP
Tax/Fees
Agricultural Tax: 15bps* (Gross) for KRX sell trades, rounded up to the nearest KRW.
Trade Tax: 15bps* (Gross) for KRX sell trades, rounded up to the nearest KRW.
Circuit Breakers
Stocks are restricted to a 15% up/down change limit (from previous closing
prices). Trading is suspended if there is a 10% fall (sustained for at least 1min) in the KOSPI from the previous close. Trading resumes after a 20min halt and
10min auction. This can only take place once per day and is not applicable from 14:20.
Round Lot Sizes
For KOSPI listed shares – 1 share for stocks trading > KRW 50,000 based on
previous close, anything below this threshold is 10 shares. 1 share for KOSDAQ
listed shares.
Tick Sizes
Stock Price/Share (KRW)
0 – 4,995
5,000 – 9,990
10,000 – 49,950
50,000 – 99,900
100,000 – 495,500
500,000 +
Short Sell Rules
Short Sell: Only covered short selling is permitted. Short selling in financial stocks
is restricted. Borrow must be in place prior to placement of the sell order. Orders
must be flagged to the Exchange as a “short sell” and “covered”. Investors must
inform broker whether the sell is long or short sell and that it is covered. Up-tick
rules apply to single stocks. Exceptions exist for ETFs, index arbitrage, DR pair
trading strategies and liquidity provider quotation.
Minimum Price Fluctuation (KRW)
5
10
50
100
500
1,000
Crossing
500 trading lots/KRW 100MN for KOSPI and KRW 100MN for KOSDAQ.
Effective September 17, 2007, cross trades are available for foreign ownership
limited stocks in the off market if both the buyer and the seller are foreign
investors. Under the current rules, one cannot buy or cross shares for foreigners
if the foreign ownership limit is filled.
Pre-Market (07:30 to 08:30): May trade either VWAP or 15% up/down from
previous closing prices.
Normal Trading Hours: Only on the open market within day high/low.
After Market (15:10 to 18:00): Same as pre-market but within +/- 15% of day
close within daily limit up/limit down or VWAP.
Clearer
KRX
Additional Info
Account: Foreign investors require a QFII number (local client account). There is
also an omnibus facility.
Investor IDs must be sent with the order unless all orders are traded via omnibus.
Sell orders in foreign ownership restricted stocks must be sent via ID (no omnibus).
Korea
Volume Data
16%
14%
Volume (% of ADV)
12%
10%
8%
6%
4%
2%
0%
00:00 00:24 00:15 00:14 00:13 00:12 00:11 00:11 00:13 00:13 00:16 00:19 00:24
Malaysia
Primary Exchange: Bursa Malaysia (MYX)
Benchmark Index: FTSE Bursa Malaysia KLCI (Bloomberg: KLCI)
Futures based on KLCI
Market Hours
Monday – Friday:
• Pre-Open (08:30 to 09:00): Orders can be entered, modified and deleted.
Supports market and limit orders. Allows order amendments or cancellations
– no matching takes place at this phase. Dynamic Theoretical Opening Price
(TOP) is calculated.
• Opening Auction (09:00): Orders are matched at TOP. Opening price/quantity
is broadcast.
• Continuous Trading Phase (09:00 to 12:30): Orders can be entered, modified
or deleted. Orders are checked for possible execution, unexecuted portion is
added to the order book. Matching on price/time priority.
Afternoon Session (14:00 to 17:00):
• Pre-Open (14:00 to 14:30): Similar to morning session.
• Continuous Trading Phase (14:30 to 16:45): Similar to morning session.
• Pre-Close (16:45 to 16:50): Similar to Pre-Open. Theoretical Closing Price
(TCP) is calculated.
• Closing Auction (16:50): Orders are matched at TCP. Closing price/quantity is broadcast.
• Trading at Last Phase (16:50 to 17:00): Orders may be entered, modified and
deleted. All orders must be entered at or modified to TCP.
Settlement
Sales/Purchase via ISS, match by 17:00 on T+2. Sales via FDSS match by
16:00 on T+2. Purchase via FDSS match by 16:00 on T+3.
Tax/Fees
Stamp: 10 bps (Gross rounded up to nearest RM 1,000) on both buys and sells.
Max. RM 200.
Clearing Fee: 3bps* (Gross). Max RM 1000.
Circuit Breakers
10%, 15% and 20% declines in the Kuala Lumpur Composite Index (KLCI). For details, please see klse.com.my/website/bm/bursa_basics/faqs/circuit_
breaker.html
Round Lot Sizes
Mostly 100 shares. There is an odd lot market.
Tick Sizes
Stock Price/Share (RM) 0 – 0.995
1.00 – 9.99
10.00 – 99.92
100.00 +
Short Sell Rules
Covered short sell permitted but subject to the up-tick rule. Presently the lender
must recall prior to selling position.
Minimum Price Fluctuation (RM)
0.005
0.010
0.020
0.100
Foreign Ownership A foreign investor requires the approval of the Foreign Investment Committee
Restrictions
(FIC) when overseas ownership exceeds 15% for an individual shareholder or 30% for overall foreign holdings. Some other rules concerning financial
institutions exist.
Crossing
No limit on quantity or value. Every cross transaction has to go through the Exchange.
Off-market trade within 10% of previous day’s VWAP: No prior approvals needed.
Within 10% – 15% of previous day’s VWAP: Need to provide details of beneficial owners.
Outside of 15% of previous day’s VWAP: Need to declare to the Exchange in
writing by 12:30 on the next market day.
Clearer
ISS, FDSS
Additional Info
Account: MCD number (local client account) is required to trade.
Malaysia
Volume Data
8%
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 16:30
New Zealand
Primary Exchange: New Zealand Exchange (NZX)
Benchmark Index: New Zealand Exchange 50 (Bloomberg: NZSE50FG)
Market Hours
Monday – Friday:
join the opening auction at a randomised time within +/- 30secs of 10:00.
• Normal Session (10:00 to 16:45): The market trades continuously on a price/
time priority basis.
• Pre-Closing Section (16:45 to 17:00): Orders may be entered, modified or
deleted to join with the closing auction.
• Closing Auction: A randomised time within +/- 30secs of 17:00.
• Adjust (17:00 to 17:30): Need to call broker(s) on the bid/offer screen to trade.
Settlement
T+3 for over NZD 100K, T+0 to T+3 for trades under NZD 100K.
Circuit Breakers
No circuit breakers or daily price movement limits.
Round Lot Sizes
1 share.
Tick Sizes
Stock Price/Share (NZD) 0 – 0.200
0.200 +
Short Sell Rules
Short selling is permitted in designated securities. Not more than 10% of the
issued stocks in the security may be short sold. A short sell order may not be
placed below the last traded price. However, short sells can be negotiated at any
price off market after 17:00 but the net short sold positions must be reported to
NZSE after each trading day.
Minimum Price Fluctuation (NZD)
0.001
0.010
Foreign Ownership A foreign investor requires the approval from the Overseas Investment
Restrictions
Commission when the overseas ownership exceeds 25% for a given shareholder.
Crossing
Single Stock: Any stock, unless under takeover, worth at least NZD 1MN can
be put through at any price. For stocks under NZD 1MN, must be crossed on
market, at or in between market prices.
Portfolio: Minimum of 5 stocks each worth NZD 150K with a total of NZD
2.5MN can be put through the market at any price.
International: If at least one side of an order is taken after market hours, a stock
can be put through the market the next morning before 09:45 (15mins prior to
the start of the normal) at an agreed price, as long as the client’s home exchange
is open at the time the deal is executed.
Clearer
NZSE
Pakistan
Primary Exchange: Karachi Stock Exchange (KSE)
Benchmark Index: KSE 100 (Bloomberg: KSE100)
Market Hours
Monday – Thursday:
price/time priority.
Friday:
• First Session Pre-Opening (09:00 to 09:15): Orders may be entered, modified
or deleted prior to uncrossing.
• First Session (09:15 to 12:00): The market trades continuously on a price/
• Second Session Pre-Opening (14:15 to 14:30): Orders may be entered,
modified or deleted prior to uncrossing.
• Second Session (14:30 to 16:30): The market trades continuously on a price/
Pre-Opening
Regular Trading
Modified Hours during Ramadan
Monday – Thursday Friday
09:15 to 09:30
08:45 to 09:00
09:30 to 13:30
09:00 to 13:00
Settlement
T+2 DVP. T+1 in case of certain corporate actions.
Tax/Fees
Stamp: 1.5% of the face value of the shares for physical forms of transfer.
Depository charge of PKR 0.01 per share.
Capital Value Tax/With-holding Tax: (Gross) 2bps on buy/1 bps on sell.
Circuit Breakers
+/-5% from previous close. For stocks below PKR 20, +/- 5% or PKR 1
– whichever is higher.
Round Lot Sizes
Various
Short Sell Rules
Not allowed for foreign institutions.
Crossing
• Market and out-of-market crossings can be done through the clearing house
by using the NCHS (New Clearing House System). It offers the option of
crossing a trade before 17:00.
• NCHS terminal allows trades to be executed at ANY price (i.e. market circuit
breaker limit doesn’t apply). Details appear in the following day’s stock
exchange quotation.
Note: During Ramadan, the cut-off time for crossings through the NCHS is
15:00. After Ramadan it reverts back to 17:00.
Foreign Ownership The threshold for the purchase of capital in banks or financial institutions is 5%.
Restrictions
Prior written approval is required from SBP for subsequent purchases. The threshold for purchases of capital in other companies (excluding banks or financial institutions) is 10%. The Listed Companies Ordinance of 2002
stipulates disclosure rules for acquisition of 10% or above in a listed company. All disclosures and public announcements are required to be copied and
forwarded to the SECP. An investor that has made capital gains from holding
more than 10% of a company’s paid-up capital is required to surrender the
capital gain if it is made within six months of reaching the 10% limit and is
required to inform the SECP and the registrar of the sale of the shares and the
payment of the capital gains.
Clearer
KSE Clearing House
Philippines
Primary Exchange: Philippine Stock Exchange (PSE)
Benchmark Index: PSEi Index (formerly PSE Composite) (Bloomberg: PCOMP)
Market Hours
Monday – Friday:
• Pre-Opening (09:00 to 09:30): Orders may be entered to join the opening
auction at 09:30. Postings cannot be cancelled if they are fully or partially
matched (meet the price bid/offer price). If unmatched, postings can be
cancelled without penalty before 09:15 and with penalty after 09:15.
price/time priority basis. Last Print is at 12:00.
• Trading-at-Last (12:00 to 12:10): Shares can be traded at closing prices.
Settlement
T+3, DVP
Tax/Fees
VAT
SCCP Fees
Sales Tax
Circuit Breakers
50% up or 40% down from the last closing price.
Round Lot Sizes
10 – 1,000,000, depending on the stock price. There is a separate odd lot market.
Tick Sizes
Depending on the price of the stock, the minimum price fluctuation varies from
0.0002 to 5.00. For details, please check pse.org.ph/html/InvestingInPSE/
investing_pse.html
Short Sell Rules
Covered short selling is permitted.
Crossing
Should be approved by the Floor Trading and Arbitration Committee. The
transaction value must not be less than P20 million. A transaction is defined as
one entry to the system. However, a block sale involving one listed issue to be
done at two different prices shall be counted as two transactions. Each of the
transactions must be more than the minimum amount to qualify.
BUY
3 bps (Gross)
1 bps (Gross)
–
SELL
3 bps (Gross)
1 bps (Gross)
50 bps (Gross)
Foreign Ownership Foreign investment is limited to 40% for public utilities, banking and corporations
Restrictions
in the natural resource sector. Foreigners cannot purchase retail or mass media companies.
Clearer
Securities Clearing Corporation of the Philippines (SCCP)
Singapore
Primary Exchange: Singapore Exchange (SGX)
Benchmark Index: Straits Times Index (Bloomberg: FSSTI)
Futures based on SGY (MSCI Singapore Free Index) (Bloomberg: SGY)
Market Hours
Monday – Friday:
join the opening auction at 09:00. No market orders.
• Continuous Trading (09:00 to 12:30 and 14:00 to 17:00): The market trades
continuously on a price/time priority basis.
to join the closing auction at 17:05. No market orders.
Settlement
T+3 – cut off at 12:00, DVP
Tax/Fees
Clearing Fee: 4 bps (Gross), max SGD600 for SGD trades/USD 430 for USD
trades/HKD 3,338 for HKD trades/AUD 470 for AUD trades.
GST: 7% (sum of Commission and Clearing Fees) for onshore accounts only.
SGX Access: 0.75 bps * (Gross). This fee is sometimes absorbed by the broker.
Circuit Breakers
No set designation. SGX intervenes when deemed necessary. Also, each listed
company may appeal to SGX to halt trading for a specified duration.
Round Lot Sizes
1,000 shares. Odd lots trade at a discount on a separate Unit Share Market,
which is quite liquid.
Tick Sizes
Stock Price/Share (SGD/USD) 0 – 0.955
1.00 – 9.99
10.00 +
Short Sell Rules
Short selling is permitted – borrow must be sourced prior to short sell date
otherwise there is a buy-in penalty. There are no up-tick rules. Buy-in on T+3.
Crossing
Direct business executed must be at least 50,000 units of securities or SGD
150K and price must be within a reasonable range from the last traded price.
Direct Business executed during trading hours must be reported within 10mins of
execution. Direct Business executed after trading hours must be reported in the
first 20mins of the Opening Routine on the following Market Day.
Clearer
The Central Depository (Pte) Limited
Minimum Price Fluctuation (SGD/USD)
0.005
0.01
0.02
Singapore
Volume Data
6%
Volume (% of ADV)
5%
4%
3%
2%
1%
0%
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
Sri Lanka
Primary Exchange: Colombo Stock Exchange
Benchmark Index: Colombo All Share Index (Bloomberg: ASPI), Milanka Index (Bloomberg: CSESML)
Market Hours
Monday – Friday:
• Open Auction (09:30)
• Normal Trading (09:30 to 14:30)
• Close (14:30): Closing Price defined as the VWAP of trades executed during
the last one hour of trading of the specified security. If the security does not
trade for one hour, the closing price will be the VWAP calculated for the period
of time it has traded.
Settlement
There is no true DVP in the market – securities settle on T with cash moving on T+3.
Circuit Breaker
In the event the Milanka Price Index (MPI) (or the index that may replace the
MPI in the future) drops by 5% within the day relative to the previous market
day’s close, a “Market Halt” will be imposed on all equity securities for a period of
30mins. Broker Firms may cancel any pending orders during the “Market Halt”.
However Broker Firms cannot enter new orders or amend pending orders during
the “Market Halt”.
Round Lot Sizes
100 shares. Orders which are for less than 100 shares are executed on the odd
lot board.
Foreign Investment No restrictions. Investment must take place through Share Investment External
Rupee Accounts (SIERA).
Taiwan
Primary Exchange: Taiwan Stock Exchange (TSE)
Benchmark Index: TAIEX Index (Bloomberg: TWSE)
Futures based on TWSE/TAIEX
Market Hours
Monday – Friday:
• Pre-Opening (08:30 to 09:00): Orders may be entered, modified, or deleted
to join the opening auction at 09:00. No market orders.
• Continuous Trading (09:00 to 13:25): The market trades via auction every
25secs (can vary by 1 or 2secs). No market orders.
• Closing Auction (13:25 to 13:30): Orders may be entered/modified/deleted to
join the closing auction at 13:30. No market orders.
• Off-hour Trading (14:00 to 14:30): Shares can be traded at the closing prices.
• Odd-lot Trading (13:40 to 14:30): Transactions may be done at a price range
of +/-7% of the stocks opening price in the regular exchange.
• Block Trading (09:00 to 17:00): Paired trade method added. For paired block there is an additional session from 08:00 to 08:30. Omnibus block is
now allowed.
Settlement
Settlement deadline on T+2 (10:00 Taipei time), shares/cash valued on T+2, DVP.
Tax/Fees
30 bps (Gross) from seller transactions truncated to nearest NTD.
Circuit Breakers
Daily price limits are set at 7% from the previous closing price. Intraday volatility
interruptions kick in once a security moves +/-3.5% from previous price. Trades
resume in 2 to 3mins. The volatility interruptions are not applicable during the
Opening and between 13:20 and 13:30. They also do not apply to stocks
opening below NTD 1 or whose matching is restricted to every 5/10mins.
Round Lot Sizes
1,000 shares. Odd lots orders can be entered from 13:40 to 14:30 with the
price determined by a closing match at 14:30 (prices are subject to the same 7% fluctuation restriction as normal trading). Orders are regarded as occurring in
the current trading day rather than on T+1 and there are no trading restrictions
for ex div., the day before New Year’s Day or days before Chinese New Year dates.
Tick Sizes
Stock Price/Share (NTD) 0 – 9.99
10.00 – 49.95
50.00 – 99.90
100.00 – 499.50
500.00 – 999.00
1,000 +
Short Sell Rules
Covered short sell is permitted. Up-tick rule is higher than previous day’s closing
price. No up-tick on the following, however the execution must still be flagged
as short sell: twse.com.tw/en/trading/SBL/TWTACU/TWTACU.php
Short sell is only permitted if volume available per TWSE regulations: twse.com.
tw/en/trading/SBL/TWT96U/TWT96U.php
Minimum Price Fluctuation (NTD)
0.01
0.05
0.1
0.5
1
5
Foreign Ownership Rules depend upon sector e.g. telecoms.
Restrictions
Clearer
Taiwan Stock Exchange (TSE); GreTai Securities Market (GTSM); Taiwan Depository and Clearing Corp (TDCC)
Additional Info
Account: FINI number (local client account) is required to trade.
Taiwan
Volume Data
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:00
09:30
10:00
10:30
11:00
11:30
12:00
12:30
13:00
Thailand
Primary Exchange: Stock Exchange of Thailand (SET)
Benchmark Index: Stock Exchange of Thai Index (Bloomberg: SET)
Futures based on SET50 (Bloomberg: BCU7)
Market Hours
Monday – Friday:
• Morning Session Pre-Opening (09:30 to 09:55): Orders may be entered,
modified or deleted to join the opening auction occurring randomly from 09:55
to 10:00.
• Afternoon Session Pre-Opening (14:00 to 14:25): Orders may be entered,
modified or deleted to join the opening auction occurring randomly from 14:25
to 14:30.
to join the closing auction, which closes randomly between 16:35 and 16:40.
• Block Trading (16:40 to 17:00): There is no evening trading. Block crosses
are allowed after random close and until 17:00.
Settlement
T+3, DVP
Tax/Fees
Stamp Duty: 10 bps (Gross)
VAT: 7% (Commission)
Circuit Breakers
10% and 20% falls of the SET index from the previous close will halt all trading
in listed securities for 30mins or one hour respectively. If trading time left in a
session is less than 30mins, or one hour after the circuit breaker comes into
effect, trading will be halted until the closing time of that session, and will then
resume during the next session. 30% daily limit up or down for local board traded
shares. Foreign board traded shares do not have any limits.
Round Lot Sizes
100 shares for most stocks. 50 shares for stocks priced THB 500 or more for 6 consecutive months. The local shares’ odd lots can be traded on a separate
board, and foreign shares lose premium.
Tick Sizes
Stock Price/Share (THB) -2
2.00 – 5.00
5.00 – 10.00
10.00 – 25.00
25.00 – 100.00
100.00 – 200.00
200.00 – 400.00
400.00 +
Minimum Price Fluctuation (THB)
0.01
0.02
0.05
0.1
0.25
0.5
1.00
2.00
Crossing
All crosses must be done within the SET. No limit on quantity or value. No limit
on price but should not be outside of day low or high (authorities reserve right
to query any transactions outside this range). Local shares < THB 3mn may be
crossed after market close at closing price or exchange VWAP. Crosses < THB
3mn will be included in VWAP price. Crosses above THB 3mn or more than 1mn
shares can be traded in the Big-Lot Board via put-through trading with no price
or time restrictions. Such trades can be crossed with other brokers as well as
internally and will not impact VWAP price.
Foreign Ownership Foreign shareholding is generally limited to a maximum of 49%. There are other
Restrictions
rules concerning the financial sector, investment promotion licenses, concession
permits etc. (e.g. 25% for financial institutions). When the foreign percentage is met or exceeded, foreign investors can purchase local shares (sometimes
at a premium) on the foreign board of the SET. Foreign investors are allowed
to purchase local shares; however, they are not legally entitled to rights and
privileges of local shareholders (i.e. dividends, corporate action, voting rights).
Clearer
Thailand Securities Depository Co. (TSD)
Thailand
Volume Data
9%
8%
Volume (% of ADV)
7%
6%
5%
4%
3%
2%
1%
0%
10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:35 14:05 14:35 15:05 15:35 16:05
Vietnam
Primary Exchange: Ho Chi Minh Stock Exchange (HOSE), Hanoi Stock Exchange (HNX)
Benchmark Index: Ho Chi Minh Stock Index (Bloomberg: VNINDEX)
Market Hours
HOSE Monday – Friday:
• First Session (08:30 to 09:00): Periodic Order Matching (to determine
opening price).
• Second Session (09:00 to 10:15): Continuous Order Matching.
• Third Session (10:15 to 10:30): Periodic Order Matching (to determine closing price).
• Fourth Session (10:30 to 11:00): Put-through transactions and Negotiated
Transactions of Board Lots.
HNX Monday – Friday: 08:30 to 11:00
Settlement
≥ 100,000 shares/fund certificates: T+1
< 100,000 shares/fund certificates: T+3
Tax/Fees
Sales Tax: 0.1% of total sale trading value; Residents (locals and foreign
investors residing in Vietnam): Choice of 0.1% of total sale trading value or 20%
of total annual capital gains.
Circuit Breakers
HOSE: +/-5% from previous match (adjusted for dividends).
HNX: +/-7% from previous match (adjusted for dividends).
Round Lot Sizes
HOSE: 10 shares.
HNX: 100 shares.
Tick Sizes
HOSE Stock Price/Share (VND) Minimum Price Fluctuation (VND)
0 – 49,900
100
50,000 – 99,500
500
100,000 +
1,000
HNX Via continuous order matching: VND 100; Via put-through deals: No price
tick applied (VND 1).
Short Sell Rules
Not allowed. When a sell order is placed, clients must have the full amount in
his/her account.
Foreign Ownership Listed and Unlisted Bank Securities: (1) Aggregate foreign ownership limit of
Restrictions
30%; (2) Individual non-bank investor limit of 5%; (3) Individual bank investor
limit of 10%; (4) Strategic investor limit of 15%, 15% to 20% with approval of
Prime Minister.
Restrictions
Orders: Investors are not allowed to buy and sell the same stock within one
trading day. Securities transaction orders must be fully pre-funded.
Vietnam
Volume Data
30%
Volume (% of ADV)
25%
20%
15%
10%
5%
0%
09:00
09:30
10:00
10:30
11:00
Americas
Argentina................87
Brazil.......................88
Canada...................90
Chile.......................92
Colombia................93
Mexico....................94
Peru........................95
United States..........96
Americas
Argentina
Primary Exchange: Bolsa de Comercio de Buenos Aires (BCBA)
Benchmark Index: MERVAL (Bloomberg: MERVAL)
Market Hours
Monday – Friday:
price/time basis.
• Last Print (17:00)
Settlement
T+3, DVP
Tax/Fees
Total fee of 25 bps on both buy and sell side.
Circuit Breakers
10% from the previous closing price. Trading is stopped for 15mins.
For each additional 5%, trading is halted for an additional 15mins.
Round Lot Sizes
100 shares. An additional market may exist for odd lots, depending upon the stock.
Short Sell Rules
Short selling is not permitted.
Clearer
Securities Central Depository, Caja de Valores S.A.
Argentina
Volume Data
4%
Volume (% of ADV)
3%
2%
1%
0%
11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 16:30
Brazil
Primary Exchange: Bolsa de Valores de Sao Paulo (Bovespa)
Benchmark Index: iBovespa Index (Bloomberg: IBOV)
Futures based on IBOV
Market Hours
Monday – Friday:
join the opening auction. If the order is better than the theoretical price of the
auctions, it cannot be cancelled or reduced – can only be increased.
• Closing Auction (16:55 to 17:00): Auction is postponed by 1min if the size or
price of the auctions changes in the last 30secs.
Times are quoted in local time, and are contingent on US Daylight Savings
Schedule. When the US is not in DST, the official local hours of the Exchange
are pushed ahead by one hour, and will open at 11:00. Pre-Open and Closing
Auctions follow accordingly.
Settlement
T+3, DVP
Tax/Fees
• Exchange Fee: 3.45bps (gross) for both sides. Commission can be reported
including the 3.45bps fee.
• Tax on Financial Transactions (IOF): 2% on inflow of funds for portfolio
investments by foreigners. Tax is charged when the FX contract is signed for settlement.
• Tax on ADRs: 1.5% levied upon ADR creation.
Circuit Breakers
When the IBOV is down 10%/15% from previous closing, then trading is halted
for 30mins/1hour respectively. If the IBOV is down 20%, the trading session can
be closed by BM&FBOVESPA.
Round Lot Sizes
1 or 1,000, depending on the price of the stock. Also, all the stocks are quoted
in lots – whether it is one or 1,000 – this has to be taken into account when
calculating the value of a trade.
Short Sell Rules
Shares have to be located. No up-tick needed. Can also borrow and not sell
short if desired.
Clearer
Brazilian Clearing and Depository Corporation (CBLC)
Additional Info
• Everyone must have an investor ID to trade.
• Various situations may trigger intraday auctions.
• Price movement: If the trade price is significantly different from last quote,
then an auction might occur.
• Size: If the trade size is significantly higher than the ADV, then an auction
might occur.
• Ownership: If a client buys/sells 0.5% of ON (common) shares or 1% of PN
(preferred) shares outstanding in a short period of time, Bovespa might call for
an auction.
The length of time for which the auction applies will vary by type of security. All auctions are subject to interference on both the buy and sell side from any
broker in any size. The account can be identified by Bovespa only, but never by
CVM, as one CVM could have multiple Bovespa numbers.
Brazil
Volume Data
8%
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00 16:30 17:00
Canada
Primary Exchange: Toronto Stock Exchange (TSX)
Benchmark Index: S&P/TSX 60 (Bloomberg: SPTSX60)
Futures based on S&P/TSX 60
Market Hours
Monday – Friday:
• Pre-Opening (07:30 to 09:30): Market and limit orders can be entered but will
not be executed. The Calculated Opening Price (COP) is displayed. Short sells
are not accepted.
• MOC (07:00 to 15:40): The Market On Close (MOC) facility is available for
MOC market orders. MOC trades publish at 16:00 unless a Price Movement
Extension occurs.
• Open (09:30 to 16:00): Orders cannot be modified during market opening, at 09:30 for typically 20 – 30secs. All order types are accepted during the
open session.
• MOC Imbalance (09:30 to 16:00): MOC imbalance is generated and
communicated. Only contra imbalance side Limit On Close (LOC) orders are
accepted into the MOC facility after 15:40.
• Price Movement Extension (PME): Calculated Closing Price (CCP) is
determined and any security in price movement extension is communicated
and contra side limit orders are accepted.
• Cancel Session (16:10 to 16:15): Many open orders at the CCP, or last sale
price can be cancelled.
• Last Sale Trading Session (16:15 to 17:00): Trades can only occur at the CCP
or the last sale price, except in the case of a specialty price cross.
Settlement
T+3, DVP
Circuit Breakers
Halts coincide with NYSE: 10%, 20% and 30% declines in the Dow Jones
Industrial Average. The numerical points are decided each quarter, using the
average closing from the previous month. If the marketplaces in Canada are open
on a day the NYSE is not, halts will be triggered when the S&P/TSX Composite
Index declines 10%, 20% and 30%.
Round Lot Sizes
• 1,000: 1c – 9c stock price/share.
• 500: 10c – 99c stock price/share.
• 100: CAD1.00+ stock price/share.
Short Sell Rules
Can only be traded on an up-tick. Brokers need to flag the order as “short sell”.
Dual listed issues are not subject to the up-tick rule.
Foreign Ownership The federal government restricts non-Canadian investment in regulated industries
Restrictions
such as broadcasting, banking, insurance, transportation and public utilities.
Limits vary by sector. The issuing agent is responsible for tracking restricted
issues to ensure the limits are not exceeded.
Clearer
Canadian Depository for Securities (CDS)
Canada
Volume Data
8%
7%
Volume (% of ADV)
6%
5%
4%
3%
2%
1%
0%
09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30
Chile
Primary Exchange: Santiago Stock Exchange (SSE)
Benchmark Index: Select Stock Market Index (Bloomberg: IPSA)
Market Hours
Monday – Friday:
• Pre-Open (09:00 to 09:30): Orders are entered to join the open at 09:30.
• Continuous Trading – March to November (09:30 to 16:00), November to March
(09:30 to 17:00): The market trades continuously on a price/time basis.
• Close (16:00/17:00): VWAP over the last 10mins.
Settlement
T+2
Circuit Breakers
10% from previous closing price for securities that also have an ADR.
20% from previous closing price for securities that do not have an ADR.
Round Lot Sizes
1 share.
Short Sell Rules
Short selling is allowed.
Additional Info
Investors must register and receive an ID from the Central Bank.
Chile
Volume Data
5%
Volume (% of ADV)
4%
3%
2%
1%
0%
09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30 16:00
Colombia
Primary Exchange: Bolsa de Valores de Columbia (BVC)
Benchmark Index: General Index (Bloomberg: IGBC)
Market Hours
Monday – Friday:
price/time basis.
• Closing Auction: (13:00): Starts at 12:55 (+/- 1min) and closes at 13:00 (+/- 1min).
Settlement
T+3
Short Sell Rules
Short selling is not permitted.
Additional Info
Investors need a valid tax ID and a custody account with a local trust.
Colombia
Volume Data
6.0%
Volume (% of ADV)
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
09:00 09:15 09:30 09:45 10:00 10:15 10:30 10:45 11:00 11:15 11:30 11:45 12:00 12:15 12:30 12:45 13:00
Mexico
Primary Exchange: Bolsa Mexicana de Valores (BMV)
Benchmark Index: Mexican Bolsa Index (aka IPC – Indice de Precios y Cotizaciones)
(Bloomberg: MEXBOL)
Futures based on MEXBOL
Market Hours
Monday – Friday:
price/time basis.
• Closing Price: VWAP of the last 20mins.
Settlement
T+3, DVP
Circuit Breakers
If a stock moves by 15% from the previous closing price trading is halted at the
discretion of the Exchange, pending further notice.
Round Lot Sizes
Short Sell Rules
A pre-borrow must be in place.
Mexico
Volume Data
4%
Volume (% of ADV)
3%
2%
1%
0%
08:30 09:00 09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00
Peru
Primary Exchange: Bolsa de Valores de Lima (BVL)
Benchmark Index: Indice General Bolsa de Valores de Lima (Bloomberg: IGBVL)
Market Hours
Monday – Friday:
• Pre-Open (09:00 to 09:30)
• Pre-Close (13:30 to 14:00): Orders trade only off the last sale price as of 13:30.
• Close (14:00)
Securities which are simultaneously traded in international markets follow a
different schedule:
• Pre-Open (08:20 to 08:30)
• Trading (08:30 to 15:00)
• Pre-Close (15:00 to 15:10)
• Close (15:10)
Settlement
T+3
Tax/Fees
Total fee of 37.5 bps on both buy and sell side.
Circuit Breakers
15% from the previous closing price. Trading is limited at the discretion of the Exchange.
Round Lot Sizes
Additional Info
Investors must register and receive an ID called a CAVAL code from the Central Bank.
Peru
Volume Data
5.0%
4.5%
Volume (% of ADV)
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
09:30 09:45 10:00 10:15 10:30 10:45 11:00 11:15 11:30 11:45 12:00 12:15 12:30 12:45 13:00 13:15 13:30 13:45 14:00
United States
Primary Exchange: NYSE, NASDAQ
Benchmark Index: S&P 500 (Bloomberg: SPX), DJIA (Bloomberg: INDU) and NASDAQ Composite (Bloomberg: CCMP)
Futures based on SPX, DJIA and NASDAQ 100
Market Hours
Monday – Friday:
NYSE
• Continuous Trading (09:30 to 16:00): The market opens with the auction
around 09:30 and trades continuously on a price/time priority basis.
NASDAQ
join the opening cross at 09:30.
• Opening Auction (09:28 to 09:30): Limit orders are treated as Imbalance-Only
(IO) orders for the opening cross. Orders not fully executed are returned.
Can enter new IO orders but not modify or cancel existing ones. New Market
Orders are not allowed.
• Market on Close (15:45 to 16:00): On-Close orders must be entered prior to 15:45.
Settlement
T+3, DVP
Tax/Fees
SEC Fee: 0.169 bps (Gross), rounded up to the nearest US cent, on the sell
side only.
Circuit Breakers
Market Wide: 10%, 20% and 30% declines in The Dow Jones Industrial
Average. The numerical points are decided each quarter, using the average
closing from the previous month. Without a set designation, both NASDAQ and
NYSE are each responsible for halting each name.
Single Stock Trading Pause: Trading in certain securities will pause for a 5min
period in the event the security experiences a 10% change in price over the
preceding 5mins.
Short Sell: Short sell restrictions described below become effective if a security
declines by 10% from the previous day’s close.
Futures: Trading in futures will pause for 10mins given a 10% decline from
previous day’s closing price. Trading pauses again for 10mins after a 20%
decline from previous day’s closing price. The maximum daily limit is 30 percent.
Trading can occur at or above this limit and cannot trade below this limit.
Round Lot Sizes
100 shares for most stocks (both NYSE and NASDAQ).
Short Sell Rules
Effective February 28, 2011, if a security declines by 10% from the previous
day’s close, short selling in that name will only be permitted above the national
best bid for the duration of that trading day as well as the following day.
Dealer must declare short sell and stock locate.
Clearer
The Depositary Trust Company (DTC)
Additional Info
Stock below $5 is non-marginable.
United States
Volume Data
6%
Volume (% of ADV)
5%
4%
3%
2%
1%
0%
09:30 10:00 10:30 11:00 11:30 12:00 12:30 13:00 13:30 14:00 14:30 15:00 15:30
Market Commentary Disclaimer
Please follow the attached hyperlink to an important disclosure: credit-suisse.com/legal_terms/market_
commentary_disclaimer.shtml
Structured securities, derivatives and options are complex instruments that are not suitable for every
investor, may involve a high degree of risk, and may be appropriate investments only for sophisticated
investors who are capable of understanding and assuming the risks involved. Supporting documentation for
any claims, comparisons, recommendations, statistics or other technical data will be supplied upon request.
Any trade information is preliminary and not intended as an official transaction confirmation. Use the
following link to read the Options Clearing Corporation’s disclosure document: cboe.com/LearnCenter/pdf/
characteristicsandrisks.pdf
Because of the importance of tax considerations to many option transactions, the investor considering
options should consult with his/her tax advisor as to how taxes affect the outcome of contemplated
options transactions.
This material has been prepared by individual traders or sales personnel of Credit Suisse and its affiliates
(‘CS’) and not by the CS research department. It is not investment research or a research recommendation,
as it does not constitute substantive research or analysis. It is provided for informational purposes, is
intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of
the products or services mentioned. The information provided is not intended to provide a sufficient basis
on which to make an investment decision. It is intended only to provide observations and views of individual
traders or sales personnel, which may be different from, or inconsistent with, the observations and views
of CS research department analysts, other CS traders or sales personnel, or the proprietary positions of
CS. Observations and views expressed herein may be changed by the trader or sales personnel at any time
without notice. Trade report information is preliminary and subject to our formal written confirmation.
CS may, from time to time, participate or invest in transactions with issuers of securities that participate in
the markets referred to herein, perform services for or solicit business from such issuers, and/or have a
position or effect transactions in the securities or derivatives thereof. The most recent CS research on any
company mentioned is available at csfb.com/researchandanalytics.
Backtested, hypothetical or simulated performance results have inherent limitations. Simulated results are
achieved by the retroactive application of a backtested model itself designed with the benefit of hindsight.
The backtesting of performance differs from the actual account performance because the investment
strategy may be adjusted at any time, for any reason and can continue to be changed until desired or
better performance results are achieved. Alternative modeling techniques or assumptions might produce
significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither
an indicator nor a guarantee of future returns. Actual results will vary from the analysis.
Past performance should not be taken as an indication or guarantee of future performance, and no
representation or warranty, expressed or implied is made regarding future performance. The information
set forth above has been obtained from or based upon sources believed by the trader or sales personnel
to be reliable, neither each of the trader or sales personnel nor CS represents or warrants its accuracy or
completeness and is not responsible for losses or damages arising out of errors, omissions or changes in
market factors. This material does not purport to contain all of the information that an interested party may
desire and, in fact, provides only a limited view of a particular market.
Global Equity Markets DMA
Country
Africa/Middle East
Abu Dhabi
Dubai
Egypt
Israel
South Africa
Turkey
Americas
Argentina
Brazil
Canada
Chile
Mexico
Peru
United States
Venezuela
Asia/Pacific
Australia
China
Hong Kong
India
Indonesia
Japan
Korea
Malaysia
New Zealand
Pakistan
Philippines
Singapore
Sri Lanka
Taiwan
Thailand
Vietnam
Europe
Austria
Belgium
Czech Republic
Denmark
Finland
France
Germany
Greece
Holland
Hungary
Ireland
Italy
Luxembourg
Norway
Poland
Portugal
Russia
Spain
Sweden
Switzerland
United Kingdom
DMA
AES
Desk
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Portfolio Strategy
USA
Phil Mackintosh
Gaurav Mundra
Victor Lin
Ana Avramovic
Glenn DeSouza
Stephen Casciano
+1 212 325 5263
+1 212 325 4096
+1 212 325 5281
+1 212 325 2438
+1 212 325 5664
+1 212 325 0776
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
Europe
Mark Buchanan
Colin Goldin
Sikandar Samar
Marwan Abboud
Ashish Kumar
+44 20 7888 0908
+44 20 7888 9637
+44 20 7888 0604
+44 20 7888 0082
+44 20 7888 5832
[email protected]
[email protected]
[email protected]
[email protected]
[email protected]
Asia
Mindy Chen
+852 2101 7133
[email protected]
AES
Americas +1-212-325-5300
Europe +44-20-7888-0006
Asia +852-2101-7221
PT
Americas +212-325-7764
Europe +44 20 7888 8053
Asia +852 2101 6209
TM
EMEA +44 207 888 4591
US +1 212 325 3623
ASIA +61 2 8205 4711
credit-suisse.com

Global Markets Handbook - Edge

Transcription

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