Relative to December of 2012, average spread narrowed in January 2013. Average volatility levels across widely tracked indices in January 2013 were in-line with those of December 2012. Year-to-date, volatility narrowed for constituents of the S&P500, Russell 2000 and MSCI World indices but increased for constituents of the MSCI Emerging Market Index.
The developed markets outside of Asia finished 2012 with yet another month of trade outflow while Asian developed markets saw another month of trade inflow, making December 2012 the third consecutive month. The financial sector in both the developed markets and emerging markets saw significant trade inflow. Trade costs decreased in both the developed and emerging markets from November.
In November 2012, MSCI World Index and MSCI North America indices continue to
experience trade outflow, althought not to the level of magnitude in September
2012. Similar to October, Asian regions continue to see trade inflow. Regional
emerging markets experienced trade outflow. Resources sectors of MSCI World and MSCI North America indices saw significant trade outflow. For the regional emerging markets, information technology sector saw trade outflow. Trade costs decreased in both the developed and emerging markets from October.
In October 2012, MSCI World Index and MSCI North America indices continue to experience trade outflow, although not to the level of magnitude in September 2012. Regional emerging markets also experienced trade outflow. Financial and health sectors of MSCI World and MSCI North America indices saw trade inflow. For the regional emerging markets, basic material sector saw trade inflow. Trade costs increased in both the developed and emerging markets from September.
Spread continued to widen in November for the constituents of the S&P500® and Russell 2000® indices. Volatility levels remained in-line from October 2012 for all constituents, except those of the MSCI World® Index which saw a 9% decrease, from 26% to 24%.
Relative to the month prior, spread in October 2012 increased by 4%, 5% and
3% for the S&P500® (4.65bps), Russell 2000® (41.78bps) and MSCI World indices (12.64bps). Month-on-month spread level for the MSCI Emerging Market Index decreased by 0.3% to 23.47bps.
In September 2012, MSCI World and MSCI North America indices experienced trade outflow, while the regional emerging markets experienced trade inflow. The utility sector of MSCI World and MSCI North America indices was the only sector that experienced trade inflow. For regional emerging markets, the financial and utility sectors experienced trade inflow. Trade costs decreased in both developed and emerging markets from August.
Concerns about dark pools have come to a head and alternative markets in Asia Pacific are among those under scrutiny. This week’s edition of The Blotter explores this topic with a focus on the Australian market.