. CMVM - Statistics - Day-Trading

CMVM

>> Main Menu: Statistics: Day-Trading  

>> Main Menu: Statistics: Day-Trading

Day-Trading

4th Quarter 2011

During the fourth quarter of 2011, the total volume of day-trading fell 38.4% when compared with the preceding quarter, plunging 42.0% on a year-over-year basis. On average, the volume of trades per financial intermediary dropped 38.4% from the 3rd to the 4th quarter of 2011 (-38.0% on a year-over-year basis). The 'price effect' contributed towards this as the PSI-20 depreciated 7.9% over the same period. The day-trading weight on the share turnover in Euronext Lisbon tumbled in comparison to the preceding quarter losing 1.5 percentage points being set at 6.9%. (Tables 1 and 2)

In the fourth quarter of 2011, 81.5% of day-trading was carried out by retail investors and 18.5% by institutions (excluding the Financial Intermediary's (FI) own portfolio), indicating a sharper decline of the value traded by retail investors as against the decrease in transactions by other institutional investors. Among institutions, asset management displayed 12.0% of the total day-trading (9.1% in the preceding quarter) and the 'other investors' 6.4% (6.5% in the previous quarter). (Table 4). 68.9% of orders were transmitted through the internet (71.7% in the preceding quarter); 24.0% were by telephone, in person or by fax (20.8% in the previous quarter) and 7.1% through other channels (7.5% in the 3rd Quarter of 2011). (Table 4)

Resident investors were responsible for 98.9% of day-trading and non-residents a mere 1.1% (excluding FI's own portfolio) in the 4th quarter 2011. In comparison with the previous quarter, there was a 1.3 percentage points increase in the weighting of residents. Among resident investors, the main volume of day-trading deals arose from retail clients (81.7%); as for non-resident investors, the main volume was due to retail investors (64.1%) which reverses the historical trend, depicted, for example, in the prior quarter, wherein institutional investors accounted for 75.0% of the total amount traded in Day-Trading by non-resident investors. (Table 5)

As for the type of FI that carried out day-trading, the credit institutions were responsible for 92.2% of the total day-trading volume in the fourth quarter of 2011. The weight of investment firms was 7.8% in the same period. (Table 3)

The day-trading deals were largely implemented by the FI's client portfolios. 98.0% of the volume was carried out by third-party portfolio and 2.0% by own portfolio. With regard to turnover, the day-trading deals nosedived 81.6% when compared to the previous quarter, whereas the third-party portfolio deals fell 39.3% on a year-over-year basis. (Table 6)

As to the degree of market concentration, the three FI's with the largest market share were responsible for 44.6% of day-trading volume in the fourth quarter of 2011 (a decline of 1.3 pp when compared with the 4th quarter of 2010). According to the Herfindahl-Hirschman Index, slightly higher concentration levels than those in the previous quarter were recorded. (Table 7)

 

Table 1 - Aggregate Indicators of Day-Trading  

  4th Q 2011  3rd Q 2011 4th Q 2010 Quarterly  D  Annual D 
Average number of IF's with Day-Trading 24,3 24,3 26,0 0,0% -6,4%
Total Amount (Million)) 834,6 881,0 323,1 -5,3% 158,3%
Total Volume (Eur Million) 355,6 577,5 612,7 -38,4% -42,0%
Average Amount per IF (Million) 34,3 36,2 12,4 -5,3% 176,0%
Average Volume per IF (Eur Million) 14,6 23,7 23,6 -38,4% -38,0%
PSI-20 (Close) 5494,3 5965,9 7588,3 -7,9% -27,6%

NOTE: IF = 'Financial Intermediaries'. The total volume results from the amount of Day-Trading valued at the closing price of the last stock market session in the respective month.


Table 2 - Weight of Day-Trading on the Market

   4th Q 2011 3rd Q 2011 4th Q 2010 Quarterly Annual D 
Quantity traded in the share sector Eurolist  (Euronext Lisbon) 12,5% 17,9% 9,9% -5,5 pp 2,6 pp
Turnover in the  share sector  Eurolist(Euronext Lisbon) 6,9% 8,5% 6,6% -1,5 pp 0,3 pp
 


Table 3 - Day-Trading per Type of Financial Intermediary

  Credit Institutions Investment Firms
  Average Number % Total IF's Value      (€ Million) % Total IF's Average Number % Total IF's Value      (€ Million) % no total IF's
4th Q 2011 19,7 79,7% 327,9 92,2% 5,0 20,3% 27,7 7,8%
3rd Q 2011 19,7 79,7% 535,1 92,7% 5,0 20,3% 42,4 7,3%
4th Q 2010 19,3 74,4% 558,9 91,2% 6,7 25,6% 53,8 8,8%
Quarterly        0,0 0,0 pp -38,7% -0,5 pp 0,0 0,0 pp -34,6% 0,5 pp
Annual    D   0,3 5,4 pp -41,3% 1,0 pp -1,7 -5,4 pp -48,4% -1,0 pp


 

Table 4 - Day-Trading Volume (€ million) per Reception Channel and Type of Investor (except for own portfolio)

   4th Q 2011 3rd Q 2011  4th Q 2010   Quarterly D Annual      
  Value % Value % Value %
Internet 240,2 68,9% 406,0 71,7% 350,5 61,0% -40,8% -31,5%
Institutional  22,5 6,5% 39,9 7,0% 32,0 5,6% -43,5% -29,5%
        Asset Management 19,9 5,7% 27,7 4,9% 15,6 2,7% -28,1% 28,0%
       Insurance and Pension Funds 0,0 0,0% 0,0 0,0% - - - -
       Other Investors  2,6 0,7% 12,2 2,2% 16,4 2,9% -78,7% -84,1%
    Retail 217,7 62,4% 366,1 64,7% 318,6 55,5% -40,5% -31,7%
Other Electronic Means 24,6 7,1% 42,2 7,5% 49,9 8,7% -41,7% -50,8%
Institutional 0,2 0,1% 0,0 0,0% 0,0 0,0% - 439,6%
        Asset Management 0,0 0,0% 0,0 0,0% - - - -
        Insurance and Pension Funds 0,0 0,0% 0,0 0,0% - - - -
        Other Investors 0,2 0,1% 0,0 0,0% 0,0 0,0% - 440%
    Retail 24,4 7,0% 42,2 7,5% 49,9 8,7% -42,2% -51,1%
Others 83,8 24,0% 118,0 20,8% 173,8 30,3% -29,0% -51,8%
    Institutional 41,7 11,9% 48,5 8,6% 82,3 14,3% -14,1% -49,4%
        Asset Management 21,9 6,3% 23,9 4,2% 47,1 8,2% -8,7% -53,6%
        Insurance and Pension Funds 0,3 0,1% 0,1 0,0% 3,3 0,6% 83,8% -92,3%
        Other Investors 19,5 5,6% 24,4 4,3% 31,9 5,6% -19,9% -38,7%
    Retail 42,1 12,1% 69,5 12,3% 91,4 15,9% -39,4% -53,9%
TOTAL 348,6 100,0% 566,2 100,0% 574,2 100,0% -38,4% -39,3%


 

Table 5 - Day-Trading Volume (€ million) per Residence and Type of Investor 

   4th Q 2011 3rd Q 2011  4th Q 2010 Quarterly      D Annual
  Value % Value % Value %
Resident 344,7 98,9% 552,7 97,6% 553,6 96,4% -37,6% -37,7%
    Institutional 63,0 18,1% 78,2 13,8% 96,4 16,8% -19,5% -34,7%
        Asset Management 41,7 12,0% 51,6 9,1% 59,6 10,4% -19,1% -30,0%
        Insurance and Pension Funds 0,3 0,1% 0,1 0,0% 3,3 0,6% 84,3% -92,3%
        Other Investors  21,0 6,0% 26,5 4,7% 33,5 5,8% -20,8% -37,3%
 Retail 281,7 80,8% 474,5 83,8% 457,2 79,6% -40,6% -38,4%
Non-Resident 3,9 1,1% 13,5 2,4% 20,6 3,6% -71,4% -81,3%
    Institutional 1,4 0,4% 10,1 1,8% 17,9 3,1% -86,3% -92,2%
        Asset Management 0,1 0,0% 0,1 0,0% 3,1 0,5% 10,8% -97,8%
        Insurance and Pension Funds 0,0 0,0% 0,0 0,0% - - - -
        Other Investors 1,3 0,4% 10,1 1,8% 14,8 2,6% -86,9% -91,1%
    Retail 2,5 0,7% 3,4 0,6% 2,7 0,5% -26,8% -9,5%
TOTAL 348,6 100,0% 566,2 100,0% 574,2 100,0% -38,4% -39,3%


 

Table 6 - Day-Trading per Own Portfolio and Third-Party Portfolio (€ million)


  4th Q 2011 3rd Q 2011 4th Q 2010 Quarterly       

Annual 
D

Value % Value % Value %
Own Portfolio 7,1 2,0% 11,3 2,0% 38,46 6,3% -37,4% -81,6%
Third-Party Portfolio 348,7 98,0% 566,2 98,0% 574,2 93,7% -38,4% -39,3%
TOTAL 355,7 100,0% 577,5 100,0% 612,7 100,0% -38,4% -41,9%


 

Table 7 - Market Concentration (Day-Trading Volume)

    4th Q 2011 3rd Q 2011 4th Q 2010 Quarterly D Annual  D 
C3 (Monthly average) 44,6% 45,5% 43,3% -0,9 pp 1,3 pp
C5 (Monthly average)mensal) 64,1% 63,8% 60,0% 0,3 pp 4,2 pp
HHI (Monthly average) 1.080,2 1.075,8 991,7 0,4% 8,9%

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 "retail investors", insurance firms and pension funds", "asset management institutions", "other institutional investors" and "financial intermediaries' own portfolio".

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.