瑞信－中国消费热潮.pdf

Quantitative Trading and
Derivatives Strategy

North America mentary 10 July 2006

Obed Martinez
+ 1 212 325 7586 Market Microstructure

Phil Mackintosh
+1 212 325 5263

Stephen Chadwick
+1 212 325 0281
Global Equity Market Handbook
Peter Yuen
+852 2101 7468

Highlights


¾ The US still dominates global equity markets with a 53% share of world market capitalization and 48 share of total cash
value-traded. Combined, the top five countries (USA, Japan, UK, France, Germany) account for nearly 80% of global market
cap and daily trading activity

¾ Despite recent strong performance and consequent investor attention, the “BRIC” emerging markets mand only a
small fraction (<5%) of the global market capitalization and a minute fraction of the USD traded daily.
¾ In futures, Korea’s KOSPI and Japan’s TOPIX & NIKKEI futures account for most of Asia’s 31% global futures share.

¾ Adjusting for the proportion of shares available to the public (free-float), Spain has the highest turnover ratio at slightly over
per annum. The USA is in the middle of the pack with a ratio of almost . New Zealand is the least internally liquid
market with a turnover ratio of just .

¾ In Asia Pacific, four out of the nine markets reviewed break for lunch and six hold closing auctions. In almost all Asian

countries, volumes are higher near open and close than the middle of the day.
¾ Of the sixteen Euro Zone markets reviewed, fifteen hold closing auctions. Overall, trading volume is skewed towards the
closing auction.

¾
The MSCI BRIC has outperformed the MSCI WORLD by almost 250% and surpassed the MSCI Emerging Markets by 140%
since Jan 2003.

¾ Our global market guide (beginning on page 12) offers detailed information for each of the thirty

countries reviewed, including market hours, volume curves, settlement and tax issues, and restrictions.


Figure 1: