1Q 2018 Business Overview
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Dual listed stocks virtual index spread dynamics
Analysis
provided by
Liquid Metrix
Bid-ask spread 1 Contract (b.p.1)
15.9 15.2
16.1 16.1
Moscow
9.8
11.5 11.5 10.7 10.5 9.2 8.7
11.8 12.8
13.7
13.5
12.4
3.4
4.1 3.6
3.0
4.0 3.7 4.1 5.6
6.1
4.7 4.7
4.6
4.6 4.7
9.7
5.1
4.2
9.1 9.5 8.4
8.1
Exchange is the
4.5 4.5 3.5 3.9 3.9
liquidity center for
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Bid-ask spread 50k EUR deal (b.p.)
34 35
34
30 32
11 15 16 18
11
17
8
15 12 15 12
18
13
18 19
21
27
24
15
16
15
18
22 17 18
16
21 17 1718
19
25
15 17 16
20
15
MICEX
Virtual
index²
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Market share³ (most liquid Russian dual listed stocks)
Russian securities
with more than
55% market share
in total trading
volume
Aggregated spreads
for most liquid dual
listed stocks are
substantially lower
in Moscow implying
lower all-in trading
costs
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03.15
6666a
1
☑
MOSCOW
The value for the spread is quoted in basis points (0.01%)
2
EXCHANGE
3
MICEX Virtual Index - index calculated based on prices and EOB data of the most liquid Russian dual listed stocks
Data since December 2015 includes trading auctions on MOEX
Source: Liquid Metrix
LSE
Moscow Exchange
55
Notes:
Spreads measure the bid to offer spread of the best visible orders in the book, the result based on measurements of the order books every 30 seconds
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