Bloomberg Trade book and Bloomberg Trading Solutions

Bloomberg Trade book and Bloomberg Trading Solutions customers are quick to point out that liquidity and spreads have always been a challenge when investing in Asia’s equity markets. Some of this challenge, however, is being alleviated by Asia’s closing auctions growing into a significant liquidity event. Averaging 3–5% of average daily volume (ADV) in 2009, during Q.1 2015, the closing auctions across developed, developing and emerging Asian markets now account, on average, for almost 13% of the average daily volume.

Recently, we looked at the closing auctions and asked the question, did the market volatility during the steep sell-off from June 9 to August 25 (“sell-off period”) affect the closing auction’s characteristic of being a significant liquidity event.  We compared the closing auction’s percentage of average daily volume from January 3 to June 8th to the sell-off period and found that the ADV was about 1-1.5% lower but still remained at significant level – all the developed and developing markets we looked at had closing auction average daily volumes above 8%. On the Hong Kong Stock Exchange, which does not have an auction, the percentage average daily volume during the last minute of the session was essentially unchanged.