The strength of ‘Made in Italy’ Equity Trading
Executive Summary
- Performance: Milan outperformed other markets, with the FTSE MIB index climbing 28% back in 2023, outpacing the US (S&P 500 up 25%) and broader European markets (Eurostoxx 50 up 19%), largely driven by gains in the banking sector as a result of increased interest rates.
- Trading Value Growth: Euronext Milan's daily trading value exhibited steady growth, particularly notable after the Optiq® migration in March 2023, with Milan's contribution to Euronext volumes peaking at 31% in H1 2024. The Italian market maintains a robust domestic ecosystem, with local brokers accounting for over 30% of volumes. Euronext Milan remains the preferred venue for trading on Italian securities, stably increasing its market share, consistently above 71%.
- Market Quality Improvement on FTSE MIB: Following Optiq® migration, market quality metrics for Euronext Milan registered a long-term improvement.
▪ The average spread decreased by 1.3 bps, from 5.8 bps to 4.5 bps;
▪ Liquidity around BBO increased by an average of +€8.2K, from €45.4K to €53.6K;
▪ The percentage of EBBO setting events by Euronext Milan increased from 49.7% to 66.1% post-migration, making the venue +24.8% more present at unique times at EBBO. - Market Quality on FTSE MID:
▪ On less liquid stocks, such as the components on FTSE MID, Euronext Milan outperforms other MTFs in market quality leading in key metrics such as EBBO setting percentage (73.7%) and unique time presence at EBBO (82.0%).
▪ In terms of liquidity, Euronext Milan also offers the highest notional liquidity around BBO at €10.6K.
Methodology
- Market quality metrics are analysed for the main Indexes representing Euronext stocks. Trading venues considered are Euronext, Cboe Europe (Cboe), Aquis Europe (Aquis) and Turquoise Europe (Turquoise).
- The market quality data in this study is sourced by the independent provider BMLL Technologies. The Welch t-test is conducted to assess statistically significant changes in metrics, with the first period spanning 2022 through March 2023 (prior to the Optiq® migration) and the second period covering from 27 March 2023 (post-migration) through the end of September 2024:
- Average Spread: the mean bid-ask spread of the day, given in basis points relative to the mean mid-point price.
- European Best Bid & Offer (EBBO) Setting: the number of events where a venue improved the consolidated best ask and bid price, as a percentage of the number of all consolidated ask and bid price improvement events for the instrument.
- Liquidity around BBO Notional (€K): the time-weighted average amount of notional around the BBO.
- Liquidity around BBO Number of Shares (K): the time-weighted average amount of shares around the BBO.
- Unique Time Presence at European Best Bid & Offer (EBBO) in percentage: The percentage of time during continuous trading when a venue is the sole one at the consolidated best bid and ask price.
Download Equity Market Quality Analysis - The strength of ‘Made in Italy’ Equity Trading
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