Unlocking Insights into European Equity Market Fragmentation!
We are proud to have provided the highly granular Level 3 data that underpinned the analysis in Oliver Wyman's recent report, "The Liquidity Matrix - Addressing fragmentation in European equity markets." This study, sponsored by the Federation of European Securities Exchanges (FESE), dives deep into the complexities of European market fragmentation and price discovery, and looks at striking the balance between deepening liquidity, innovation, and competition.
Our high-quality data was instrumental in visualising key liquidity and price formation trends, including:
The Evolution of European equity execution channels over time – with close to 70% of volumes are split across MTFs, and dark, bilateral and non-addressable channels, including SIs and over-the-counter (OTC)
Liquidity fragmentation at the single-stock level – providing a detailed look at how liquidity for major European stock indices is split between primary lit venues, MTFs, and other channels
Fragmentation of European equity market trading cross-and intra-market, illustrating that, due to intra-market fragmentation, only a third of traded volumes contributes fully to price formation, namely lit trading on primary markets.
Contributions to price formation from primary venues vs. MTFs - highlighting that primary venues set the best bid / offer approximately four times more often than MTFs, emphasising their role in price discovery
Magnus Burkl, CFA, Partner at Oliver Wyman, Capital Markets and Financial Infrastructure, said: "Congratulations to BMLL and Paul Humphrey, who have built the best product to dissect and analyse liquidity across European capital markets."
Paul Humphrey, CEO, BMLL, added: "It was our pleasure to support the Oliver Wyman team to create this first-class analysis. We are delighted they chose BMLL to be their data partner to assist in their excellent research piece, together with Federation of European Securities Exchanges (FESE) to understand European equity markets fragmentation."
Oliver Wyman's expert analysis, powered by BMLL historical market data, sheds light on the acute issue of intra-market fragmentation in Europe, where only about 30% of total liquidity trades on lit primary venues. This collaboration underscores the importance of data-driven insights in addressing Europe's liquidity fragmentation and deepening liquidity across the market.
