During the third quarter of 2011, the total volume of day-trading increased 55.5% apropos the previous quarter with a decrease of 6.6% on a year-over-year basis. On average, the volume of trades per financial intermediary rose 61.9% from the 2nd to the 3rd quarter of 2011 (-0.2% apropos the quarter-over-quarter). The 'quantity-effect' aided said result since the PSI-20 depreciated 18.5% during the same period. The day-trading weight on the share turnover in Euronext Lisbon increased significantly apropos the previous quarter with 3.3 percentage points (pp) and set at 8.5%. (Tables 1 and 2)
During the 3rd quarter of 2011, 84.4% of the day-trading value was carried out by retail investors and 15.6% by professional investors (excluding FIs own portfolio) which shows a sharper increase of the value traded by retail investors. Among the professional investors, asset management represented 9.1% of the day-trading total (11.7% in the previous quarter) and 6.5% for the item 'Other Investors' (7.8% during the previous quarter). (Table 4) During same period, 71.7% of the orders were transmitted via the internet versus 71.0% during the previous quarter; 20.8% of these were done by telephone, in person or by fax (22.1% in the previous quarter) and 7.5% via other channels (6.9% in the 1st quarter 2011). (Table 4)
Resident investors were responsible for 97.6% of day-trading and non-residents a mere 2.4% (excluding FIs own portfolio). Apropos the previous quarter, highlight is given to the increase in the resident investors' structure (96.9%) with major day-trading values originating from retail clients (85.5%). As regards non-resident investors, the main volume was due on professional investors (75.0%). (Table 5)
As for the type of FI carrying out day-trading, credit institutions were responsible for 92.7% of the total day-trading volume during the third quarter 2011. The weight of investment companies was 7.3% during the identical period. (Table 3)
The day-trading business deals were largely carried out for the FIs client portfolios. In fact, 98.0% of the volume carried out by third-party portfolio and 2.0% for own portfolio. With regard to day-trading turnover, the day-trading deals dropped 5.9% in comparison to the previous quarter while dealings for third-party portfolio increased 57.6% apropos the identical period. (Table 6)
As to the degree of market concentration, the three FIs with the largest market share were responsible for 45.5% of the day-trading volume during the 3rd quarter of 2011 (an increase of 2.2 pp apropos the previous quarter). According to the Herfindahl-Hirshcman Index, the third quarter showed higher concentration level than those during the 2nd quarter. (Table 7)
Table 1 - Aggregate Day-Trading Benchmarks
|
| Average No. of FIs with Day-Trading |
24.3 |
25.3 |
26.0 |
-3.9% |
-6.4% |
| Total Amount (million) |
881.0 |
307.2 |
410.9 |
186.8% |
114.4% |
Total Volume
(€ million) |
577.5 |
371.3 |
618.3 |
55.5% |
-6.6% |
| Average Amount per FI (million) |
36.2 |
12.1 |
15.8 |
198.5% |
129.1% |
| Average Volume per FI (€ million) |
23.7 |
14.7 |
23.8 |
61.9% |
-0.2% |
NOTE: FI = Financial Intermediary. The total volume is the amount of Day-Trading valued at the closing price of the last stock market session in the relevant month.
Table 2 - Day-Trading Weight on the Market
|
| Quantity traded in the share sector Eurolist (Euronext Lisbon) |
17.9% |
10.1% |
11.8% |
7.8 pp |
6.1 pp |
Table 3 - Day-Trading per FI Type
| |
Average Number |
Total FI % |
Value (€ million) |
Total FI % |
Average Number |
Total FI % |
Value (€ million) |
Total FI % |
| 3rd Q 2011 |
19.7 |
79.7% |
535.1 |
92.7% |
5.0 |
20.3% |
42.4 |
7.3% |
| 2nd Q 2011 |
19.7 |
76.6% |
341.9 |
92.1% |
6.0 |
23.4% |
29.4 |
7.9% |
| 3rd Q 2010 |
19.3 |
73.4% |
559.0 |
90.4% |
7.0 |
26.6% |
59.3 |
9.6% |
| Quarterly D |
0.0 |
3.1 pp |
56.5% |
0.6 pp |
-1.0 |
-3.1 pp |
44.2% |
-0.6 pp |
Table 4 - Day-Trading (€ million) per reception Channel and Type of Investor (ex own portfolio)
|
|
Value |
% |
Value |
% |
Value |
% |
|
Internet |
406.0 |
71.7% |
255.2 |
71.0% |
364.4 |
62.0% |
59.1% |
11.4% |
|
Institutional |
39.9 |
7.0% |
33.0 |
9.2% |
27.7 |
4.7% |
21.0% |
44.3% |
|
Asset Management |
27.7 |
4.9% |
23.4 |
6.5% |
15.2 |
2.6% |
18.3% |
81.8% |
|
Insurance and Pension Funds |
0.0 |
0.0% |
0.0 |
0.0% |
- |
- |
- |
- |
|
Other Investors |
12.2 |
2.2% |
9.6 |
2.7% |
12.4 |
2.1% |
27.6% |
-1.7% |
|
Retail |
366.1 |
64.7% |
222.2 |
61.8% |
336.7 |
57.3% |
64.8% |
8.7% |
|
Other Electronic Means |
42.2 |
7.5% |
24.7 |
6.9% |
43.4 |
7.4% |
71.0% |
-2.7% |
|
Institutional |
0.0 |
0.0% |
0.0 |
0.0% |
0.3 |
0.0% |
-100.0% |
-100.0% |
|
Asset Management |
0.0 |
0.0% |
0.0 |
0.0% |
- |
- |
- |
- |
|
Insurance and Pension Funds |
0.0 |
0.0% |
0.0 |
0.0% |
- |
- |
- |
- |
|
Other Investors |
0.0 |
0.0% |
0.0 |
0.0% |
0.3 |
0.0% |
-100.0% |
-100% |
|
Retail |
42.2 |
7.5% |
24.7 |
6.9% |
43,1 |
7,3% |
71,0% |
-2,2% |
|
Other Reception Channels |
118.0 |
20.8% |
79.5 |
22.1% |
179.6 |
30.6% |
48.5% |
-34.3% |
|
Institutional |
48.5 |
8.6% |
37.2 |
10.4% |
61.9 |
10.5% |
30.3% |
-21.7% |
|
Asset Management |
23.9 |
4.2% |
18.8 |
5.2% |
27.8 |
4.7% |
27.6% |
-13.7% |
|
Insurance and Pension Funds |
0.1 |
0.0% |
0.1 |
0.0% |
1.9 |
0.3% |
68.4% |
-92.9% |
|
Other Investors |
24.4 |
4.3% |
18.4 |
5.1% |
32.2 |
5.5% |
32.9% |
-24.3% |
|
Retail |
69.5 |
12.3% |
42.3 |
11.8% |
117.7 |
20.0% |
64.5% |
-40.9% |
Table 5 - Day-Trading Volume (€ million) por Residence and Investor Type
| |
Value |
% |
Value |
% |
Value |
% |
| Resident |
552.7 |
97.6% |
348.3 |
96.9% |
573.5 |
97.6% |
58.7% |
-3.6% |
|
Institutional |
78.2 |
13.8% |
61.8 |
17.2% |
78.8 |
13.4% |
26.7% |
-0.7% |
|
Asset Management |
51.6 |
9.1% |
41.1 |
11.4% |
43.0 |
7.3% |
25.5% |
20.0% |
|
Insurance and Pension Funds |
0.1 |
0.0% |
0.1 |
0.0% |
1.9 |
0.3% |
68.4% |
-92.9% |
|
Other Investors |
26.5 |
4.7% |
20.5 |
5.7% |
33.8 |
5.8% |
29.1% |
-21.7% |
|
Retail |
474.5 |
83.8% |
286.5 |
79.7% |
494.7 |
84.2% |
65.6% |
-4.1% |
|
Non-Resident |
13.5 |
2.4% |
11.1 |
3.1% |
13.8 |
2.4% |
22.1% |
-2.2% |
|
Institutional |
10.1 |
1.8% |
8.4 |
2.3% |
11.1 |
1.9% |
20.2% |
-8.3% |
|
Asset Management |
0.1 |
0.0% |
1.1 |
0.3% |
0.0 |
0.0% |
-94.3% |
5190.8% |
|
Insurance and Pension Funds |
- |
- |
- |
- |
- |
- |
- |
- |
|
Other Investors |
10.1 |
1.8% |
7.4 |
2.1% |
11.1 |
1.9% |
36.6% |
-8.8% |
|
Retail |
3.4 |
0.6% |
2.6 |
0.7% |
2.8 |
0.5% |
28.1% |
22.0% |
Table 6 -Day-Trading per Own Portfolio and Third-Party Portfolio
(€ million)
| Value |
% |
Value |
% |
Value |
% |
| Own Portfolio |
11.3 |
2.0% |
12.0 |
3.2% |
30.98 |
5.0% |
-5.9% |
-63.6% |
| Third-Party Portfolio |
566.2 |
98.0% |
359.4 |
96.8% |
587.4 |
95.0% |
57.6% |
-3.6% |
Table 7 - Market Concentration (Day-Trading Volume)
|
| C3 (Monthly Average) |
45.5% |
43.2% |
43.1% |
2.2 pp |
2.3 pp |
| C5 (Monthly Average) |
63.8% |
61.5% |
59.9% |
2.3 pp |
3.9 pp |
NOTE: The index of concentration Cn is obtained by adding 'n' largest market shares of financial intermediaries. The HHI (Herfindahl-Hirschman Index) is obtained by the sum of the squared market shares of financial intermediaries.
This report relates to the day-trading activity carried out by financial intermediaries registered with the CMVM for providing the services for the reception and transmission of orders on behalf of others.
The information contained in this report is submitted monthly by financial intermediaries pursuant to CMVM Instruction No. 3/2005 and only relates to assets constituting the PSI-20 Index of Euronext Lisbon.
Day-trading is characterised by:
- the transactions involving purchases and sales being carried out on the same day, from the accounts of a single owner and involving the same security;
- each transaction is considered in terms of the quantity subject to settlement between the purchase and sale;
- transactions originating from orders transmitted by other financial intermediaries, whether resident or not, that are authorised to provide the service of reception and transmission of orders on behalf of a third party is not considered.
The day-trading volume taken into account in the report results from the amount of day-trading valued at the closing price of the last stock market session in the respective month.
The information used dates back to 13 October 2011 and any information reported or corrected after said period was not taken into account.
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