Analysis | Market fragmentation


Fragmentation in Europe


LiquidMetrix analyses consolidated performance figures for stocks on major European indices and the changes from the previous quarter.


The charts and figures below are based upon LiquidMetrix’s unique benchmarking methodology that provides accurate measurements of trends in


market movements. Trading volumes on lit markets including auctions are taken into account, as well as dark trading on the major MTFs.


Market share MTF


market share (%)


Q1 2013 Q2 2013 Change


28.76% 29.86% +1.10%


Market value traded


(€bn/day) €28.98


€32.08 +€3.10


Average MTF market share has risen overall in the period. MTF market share peaked at the end


10 20 30 40 50 60 70


0 01-Jan-12 78 01-Apr-12 01-Jul-12 01-Oct-12 01-Jan-13 01-Apr-13 Best Execution | Summer 2013 Based on fragmented European stocks


of March 2013 at nearly 32% but has decreased somewhat since then. Over the same period, the value traded also increased slightly from €29bn to around €32bn aday. This period also included triple witching on


March 15, 2013. On this day value traded was high (€58bn), and MTF market share was markedly lower (20%), illustrating that most of the extra volume for this day executes on primary.


20 22 24 26 28 30 32 34


€bn value traded


% MTF market share (5 day moving average)


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