Not every exchange functions for just one period of time a day. There are a number of exchanges that provide several trading sessions. How does this change the liquidity profile of a traded stock?
To illustrate the impact, Itarle produced the ‘at-touch’ median liquidity profile for the stock of one of the biggest Russian companies – PJSC Gazprom, traded on Moscow Exchange during both main (day) and evening sessions.
The graph observed after computing 3 months daily trading data (1st March – 31st May) allows us to conclude that:
Evening session for stocks was implemented on the Moscow Exchange from 22nd June 2020. It started with 25 most liquid stocks included in the MOEX Russia Index. Since then, a variety of instruments were allowed to be traded during the evening session, such as mutual funds, more Russian and international stocks. In total, 62 stocks are currently traded during the evening session (moex.com). From 1st March 2021, MOEX implemented the morning session (7:00-10:00) on derivatives, currencies and precious metals markets. This extension is hoped to be introduced on the stock market of MOEX later this year (Interfax). Itarle will look forward to seeing how this initiative will reflect on trading metrics.
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