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  • 2

    Deutsche BankEquities

    March 2014

    Global Market StructureAsia Pacific Newsletter Issue 32

  • 3

    Global Market Structure

    Contents

    APAC and ASEAN 4

    Hong Kong 6

    China 10

    Taiwan 13

    Japan 16

    India 20

    South Korea 24

    Australia 26

    Thailand 29

    Singapore 31

    Philippines 34

    Indonesia 35

    Malaysia 36

    Chart Definitions 37

    Editor

    Jessica Morrison, Head of APAC Market Structure jessica.morrison@db.com

    Quantitative Content

    Winnie Khattar, Head of APAC Analytics winnie.khattar@db.com

    Contributors

    Shalabh Sood, Feiran Tao, Alexandra Thrum, Timothy Murch

    Issue 32, 2014Welcome to the APAC Market Structure News Book containing summaries of regulatory and exchange news accompanied by microstructure analytics.

  • 4

    Global Market Structure Deutsche BankEquities

    Global Market Structure Newsletter Issue 32, 2014

    APAC and ASEAN Summary

    Source: Thomson Reuters

    Fig 1: APAC Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 2: ASEAN Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 3: APAC Market Share Distribution

    Source: Thomson Reuters

    Fig 4: ASEAN Market Share Distribution

    0

    0.05

    0.1

    0.15

    0.2

    0.25

    0.3

    0.35

    0.4

    0.45 USAEuropeAustraliaChinaHong KongIndiaJapanSouth KoreaTaiwan

    USAEuropeIndonesiaMalaysiaPhilippinesThailandSingapore

    0

    0.1

    0.2

    0.3

    0.4

    0.5

    0.6

    0.7

    2012 2013 2014Australia 6% 5% 5%

    35% 37% 38%China

    8% 7% 8%Hong Kong

    4% 3% 2%India

    26% 34% 33%Japan10% 6% 6%South Korea

    5% 4% 4%Taiwan

    5% 4% 4%ASEAN

    2012 2013 2014

    28% 35% 29%Thailand

    6% 7% 6%Philippines

    17% 16% 21%Malaysia

    31% 26% 27%Singapore18% 17% 17%Indonesia

    Source: Thomson Reuters

    Fig.5 Impact Cost of Estimate

    0.0

    5.0

    10.0

    15.0

    20.0

    25.0

    30.0

    35.0

    0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%Trade size (%ADV)

    Imp

    act

    Co

    st E

    stim

    ates

    (b

    ps)

    Hang Seng Composite

    Nikkei 225

    Taiwan TAIEX

    NSE S&P Nifty

    S&P/ASX 200

    Kospi 200

    Straits Times

    Source: Thomson Reuters

    Fig.6 Turnover Velocity

    Source: Thomson Reuters

    Fig.8 APAC Market Microstructure Matrix

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    6 5 4 3 2 1

    2 1

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    $0

    $10

    $20

    $30

    $40

    $50

    $60

    South Korea Japan Hong Kong Taiwan China India Singapore Thailand Malaysia

    Bill

    ion

    s

    Avg Turnover (US$ Bn)

    Open Interest (US$ Bn)

    141312

    141312

    Source: Thomson Reuters

    Fig 1: APAC Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 2: ASEAN Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 3: APAC Market Share Distribution

    Source: Thomson Reuters

    Fig 4: ASEAN Market Share Distribution

    0

    0.05

    0.1

    0.15

    0.2

    0.25

    0.3

    0.35

    0.4

    0.45 USAEuropeAustraliaChinaHong KongIndiaJapanSouth KoreaTaiwan

    USAEuropeIndonesiaMalaysiaPhilippinesThailandSingapore

    0

    0.1

    0.2

    0.3

    0.4

    0.5

    0.6

    0.7

    2012 2013 2014Australia 6% 5% 5%

    35% 37% 38%China

    8% 7% 8%Hong Kong

    4% 3% 2%India

    26% 34% 33%Japan10% 6% 6%South Korea

    5% 4% 4%Taiwan

    5% 4% 4%ASEAN

    2012 2013 2014

    28% 35% 29%Thailand

    6% 7% 6%Philippines

    17% 16% 21%Malaysia

    31% 26% 27%Singapore18% 17% 17%Indonesia

    Source: Thomson Reuters

    Fig.5 Impact Cost of Estimate

    0.0

    5.0

    10.0

    15.0

    20.0

    25.0

    30.0

    35.0

    0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%Trade size (%ADV)

    Imp

    act

    Co

    st E

    stim

    ates

    (b

    ps)

    Hang Seng Composite

    Nikkei 225

    Taiwan TAIEX

    NSE S&P Nifty

    S&P/ASX 200

    Kospi 200

    Straits Times

    Source: Thomson Reuters

    Fig.6 Turnover Velocity

    Source: Thomson Reuters

    Fig.8 APAC Market Microstructure Matrix

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    6 5 4 3 2 1

    2 1

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    $0

    $10

    $20

    $30

    $40

    $50

    $60

    South Korea Japan Hong Kong Taiwan China India Singapore Thailand Malaysia

    Bill

    ion

    s

    Avg Turnover (US$ Bn)

    Open Interest (US$ Bn)

    141312

    141312

    Source: Thomson Reuters

    Fig 1: APAC Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 2: ASEAN Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 3: APAC Market Share Distribution

    Source: Thomson Reuters

    Fig 4: ASEAN Market Share Distribution

    0

    0.05

    0.1

    0.15

    0.2

    0.25

    0.3

    0.35

    0.4

    0.45 USAEuropeAustraliaChinaHong KongIndiaJapanSouth KoreaTaiwan

    USAEuropeIndonesiaMalaysiaPhilippinesThailandSingapore

    0

    0.1

    0.2

    0.3

    0.4

    0.5

    0.6

    0.7

    2012 2013 2014Australia 6% 5% 5%

    35% 37% 38%China

    8% 7% 8%Hong Kong

    4% 3% 2%India

    26% 34% 33%Japan10% 6% 6%South Korea

    5% 4% 4%Taiwan

    5% 4% 4%ASEAN

    2012 2013 2014

    28% 35% 29%Thailand

    6% 7% 6%Philippines

    17% 16% 21%Malaysia

    31% 26% 27%Singapore18% 17% 17%Indonesia

    Source: Thomson Reuters

    Fig.5 Impact Cost of Estimate

    0.0

    5.0

    10.0

    15.0

    20.0

    25.0

    30.0

    35.0

    0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%Trade size (%ADV)

    Imp

    act

    Co

    st E

    stim

    ates

    (b

    ps)

    Hang Seng Composite

    Nikkei 225

    Taiwan TAIEX

    NSE S&P Nifty

    S&P/ASX 200

    Kospi 200

    Straits Times

    Source: Thomson Reuters

    Fig.6 Turnover Velocity

    Source: Thomson Reuters

    Fig.8 APAC Market Microstructure Matrix

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    6 5 4 3 2 1

    2 1

    Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14

    $0

    $10

    $20

    $30

    $40

    $50

    $60

    South Korea Japan Hong Kong Taiwan China India Singapore Thailand Malaysia

    Bill

    ion

    s

    Avg Turnover (US$ Bn)

    Open Interest (US$ Bn)

    141312

    141312

    Bank of Japan announcement of another round of monetary stimulus to support economic growth and Chinas record credit growth data pulled the Asian indices up with renewed optimism among investors. Japanese Yen strengthened in January amid deepening concerns in emerging markets and increased support for Japanese assets.

    Singapore regained its market share in ASEAN whilst Thailand lost during the political unrest in the country since late last year. Indian rupee (INR) as well as Nifty surged into positive territory ahead of upcoming elections in the country. Indonesian and a subset of Japan listed stocks that underwent a tick size reduction saw a direct impact on top-of-book quantities, stock bid-ask spread and the total size available for immediate execution.

    1. Japanese yen rallied, as sell off in emerging markets deepened and an increased scrutiny of credit risk in China boosted demand for Japanese assets.

    2. Chinas 3rd Plenum meeting after 35 years from last to plan next phase of Chinas economic reform.

    3. INR currency depreciation 14% slide against USD, Indias widened current account deficit.

    4. China cash crunch and poor GDP data signalling economic slowdown.5. FED announced tapering of QE3 upon continued positive US economic

    data.6. Bank of Japan announced US$1.4t quantitative easing to restore

    growth in the economy.

    1. IDR currency depreciation 15% fall against USD, and Indonesias current account deficit. 2. FED announced tapering of QE3 upon continued positive US economic data.

  • 5

    Global Market Structure

    Source: Thomson Reuters

    Fig 1: APAC Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 2: ASEAN Volatility (30day index return volatility)

    Source: Thomson Reuters

    Fig 3: APAC Market Share Distribution

    Source: Thomson Reuters

    Fig 4: ASEAN Market Share Distribution

    0

    0.05

    0.1

    0.15

    0.2

    0.25

    0.3

    0.35

    0.4

    0.45 USAEuropeAustraliaChinaHong KongIndiaJapanSouth KoreaTaiwan

    USAEuropeIndonesiaMalaysiaPhilippinesThailandSingapore

    0

    0.1

    0.2

    0.3

    0.4

    0.5

    0.6

    0.7

    2012 2013 2014Australia 6% 5% 5%

    35% 37% 38%China

    8% 7% 8%Hong Kong

    4% 3% 2%India

    26% 34% 33%Japan10% 6% 6%South Korea

    5% 4% 4%Taiwan

    5% 4% 4%ASEAN

    2012 2013 2014

    28% 35% 29%Thailand

    6% 7% 6%Philippines

    17% 16% 21%Malaysia

    31% 26% 27%Singapore18% 17% 17%Indonesia

    Source: Thomson Reuters

    Fig.5 Impact Cost of Estimate

    0.0

    5.0

    10.0

    15.0

    20.0

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