Understanding the Liquidity Landscape in European Equity Markets | AFME

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Understanding the Liquidity Landscape in European Equity Markets
07 Jul 2020
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A diverse and competitive market structure has ensured European equity markets remain robust, according to a study published today (7 July) by the Association for Financial Markets in Europe (AFME). The study analysed the liquidity landscape of European markets using data provided by independent analytics firm Big XYT and revealed that for the first six months of 2020, 81% of addressable liquidity was executed on-venue, 13% on systematic internalisers and 6% over the counter (OTC).  Other key findings include:

 

  • 81% of total addressable liquidity is found on-venue, with 13% being traded on systematic internalisers and 6% pure OTC. The share between lit and dark markets remained stable after the application of MIFID II, with the quality of price formation remaining strong.
  • The current range of execution venues serve different functions and market needs. Continuous lit order book trading is not interchangeable with the service provided by systematic internalisers, which play a critical role for pension and investment funds. Pensioners and savers would be worse-off if diversity of trading was curtailed.
  • Better data reporting is needed to benefit investors, including increased identification and flagging of the different trade categories.

 

This analysis was produced using data provided by Big XYT, an independent analytics firm.

 

For more details, read the report and our press release