gazprom liquidity graph
Posted on 21 July 2021

Gazprom liquidity profile

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:

  • Main session liquidity slowly builds up after morning auction until the end of the session; during lunch time, one could see a horizontal liquidity dynamic;
  • Evening session is significantly less liquid (approximately 50% downfall); however, there is a notably higher volatility,  which may happen because of shorter trading times. Liquidity relatively spikes closer to the end of trading day.

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.

Please contact us at sales@itarle.com for details on how these metrics can improve execution prices.


Related posts

Itarle is a proud sponsor of BEng, MEng and PhD awards at UoM E&EE Dept

Itarle is delighted to announce its sponsorship of the best Bachelor, Master and PhD thesis at the University of Manchester Department of Electrical and Electronic Engineering. The prize will be awarded to Students with outstanding performance in their Bachelor, Master or PhD thesis. Paid internships at Itarle (UK) will be offered to the prize winning […]

Happy New Year 2024!

We would like to wish everyone a happy Chinese New Year and best wishes for 2024! Team Itarle

Itarle logo in white
Itarle is a leader in best execution, liquidity capture and analytics on over 100 global exchanges.

Who we are

Approach
History

Contact

sales@itarle.com
Hong Kong +852 3491 4518
London +44 20 3314 8534
New York +1 332 233 4779
Itarle logo in white
Itarle is a leader in best execution, liquidity capture and analytics on over 100 global exchanges.
Itarle logo in white
Itarle is a leader in best execution, liquidity capture and analytics on over 75 global exchanges.
Contactsales@itarle.com
Hong Kong 
+852 3491 4518
London 
+44 20 3314 8534
New York 
+1 332 233 4779

Copyright © Itarle 2024