Day-trading
3rd quarter 2013
During the third quarter of 2013, the total volume of day-trading tumbled 5.8%, in comparison to the preceding quarter (up 33.7% on a year-over-year basis). The 'price-effect' aided said trend in light of the PSI-20 depreciating 6.4% in the same period. On average, the volume of trades per financial intermediary fell 5.8% across the last two quarters (+26.5% on a year-over-year basis). The day-trading weight on the share turnover in Euronext Lisbon increased slightly in comparison to the previous quarter, recording a 0.2 pp upsurge and settled at 5.7%.
(Tables 1 and 2)
During the 3rd quarter of 2013, 84.9% of the day-trading value was carried out by retail investors and 15.1% by professional investors (excluding FIs own portfolio) demonstrating opposite trends between both types of investors. Whereas the value carried out by professional investors rose slightly over the last two quarters, investments by retail investors maintained the downward trend recorded. Among the professional investors, asset management accounted for 13.1% of the total Day-Trading (11.1% in the previous quarter) and the "Other Investors" 1.8% (2.8% in the preceding quarter). (Table 4) As regards the 3rd Quarter 2013, 72.6% of the orders were transmitted via the internet (70.9% during the preceding quarter); 20.3% of Day-Trading were carried out via telephone, in person or by fax (21.6% in the preceding quarter) and 7.1% via other channels (7.6% in the 2nd quarter 2013).
(Table 4)
Resident investors were responsible for 93.9% of day-trading and non-resident investors 6.1% (excluding FI's own portfolio) in the 3rd quarter 2013. These figures show a decline in residents from the previous quarter. Among resident investors, the main volume of day-trading deals were from retail clients (89.2%); as for non-resident investors, the main volume was due to institutional investors thereby reinforcing the reversal of the historical trend identified.
(Table 5)
As for the type of FI that carried out day-trading, the credit institutions accounted for 88.7% of the total day-trading volume in the third quarter of 2013. The weight of investment firms was 11.3% in the same period demonstrating a notable increase of the latter on a year-over-year basis (outside 5.6% in the 3rd quarter 2012). (Table 3)
The day-trading deals were mostly implemented by the FI's client portfolios. 97.2% of the value was carried out for third-party portfolios and 2.8% for own portfolio during the 3rd quarter 2013. With regard to turnover, the day-trading deals for own portfolio experienced a 22.9% tumble on a year-over-year basis, whereas the third-party portfolio deals increased 36.6% over the same period.
(Table 6)
As to the degree of market concentration, the three FIs with the largest market share were responsible for 49.2% of the day-trading volume during the 3rd quarter of 2013 (less 1.0 pp when compared with 3rd quarter 2012). According to the Herfindahl-Hirschman Index, the third quarter 2013 displayed higher concentration level than that recorded during the 2nd quarter 2012.
(Table 7)
Table 1 - Aggregate Indicators of Day-Trading
| |
3rd Q 2013 |
2nd Q 2013 |
3rd Q 2012 |
Quarterly var. |
Annual var. |
|
Average number of IF's with Day-Trading | 24.7 | 24.7 | 23.3 | 0.0% | 5.7% |
| Total Amount (Million) | 1169.8 | 915.5 | 425.0 | 27.8% | 175.3% |
| Total Volume (Eur Million) | 363.8 | 386.2 | 272.1 | -5.8% | 33.7% |
| Average Amount per IF (Million) | 47.4 | 37.1 | 18.2 | 27.8% | 160.4% |
| Average Volume per IF (Eur Million) | 14.8 | 15.7 | 11.7 | -5.8% | 26.5% |
| PSI-20 (Close) | 5556.9 | 5939.4 | 4698.0 | -6.4% | 18.3% |
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
| |
3rd Q 2013 |
2nd Q 2013 |
3rd Q 2012 |
Quarterly var. |
Annual var. |
|
|
Quantity traded in the share sector Eurolist (Euronext Lisbon) | 9.1% | 9.2% | 8.2% | 0.0 pp | 1.0 pp |
Table 3 - Day-Trading per Type of Financial Intermediary
| |
Average Number |
% Total IF's |
Value
(€ Million) |
% Total IF's |
Average Number |
% Total IF's |
Value
(€ Million) |
% Total IF's |
|
3rd Q 2013 |
19.7 |
79.7% |
322.6 |
88.7% |
5.0 |
20.3% |
41.2 |
11.3% |
|
2nd Q 2013 |
19.3 |
78.4% |
333.1 |
86.2% |
5.3 |
21.6% |
53.1 |
13.8% |
|
3rd Q 2012 |
18.0 |
77.1% |
256.8 |
94.4% |
5.3 |
22.9% |
15.3 |
5.6% |
| Quarterly var. |
0.3 |
1.4 pp |
-3.1% |
2.4 pp |
-0.3 |
-1.4 pp |
-22.4% |
-2.4 pp |
Table 4 - Day-Trading Volume (€ million) per Reception Channel and Type of Investor (except for own portfolio)
| |
3rd Q 2013 |
2nd Q 2013 |
3rd Q 2012 |
Quarterly
var. |
Annual
var. |
| |
Value |
% |
Value |
% |
Value |
% |
| Internet | 256.8 | 72.6% | 266.6 | 70.9% | 202.3 | 78.7% | -3.7% | 27.0% |
| Institutional | 13.2 | 3.7% | 16.2 | 4.3% | 12.8 | 4.9% | -18.4% | 3.4% |
| Asset Management | 11.2 | 3.2% | 14.3 | 3.8% | 12.2 | 4.7% | -22.0% | -7.9% |
| Insurance and Pension Funds | 0.0 | 0.0% | 0.0 | 0.0% | - | - | - | - |
| Other Investors | 2.0 | 0.6% | 1.8 | 0.5% | 0.6 | 0.2% | 9.7% | 225.1% |
| Retail | 243.6 | 68.9% | 250.5 | 66.6% | 189.5 | 73.2% | -2.8% | 28.5% |
| Other Electronic Means | 25.1 | 7.1% | 28.4 | 7.6% | 21.2 | 8.2% | -11.9% | 18.1% |
| Institutional | 0.4 | 0.1% | 1.8 | 0.5% | 0.1 | 0.0% | -79.7% | 388.8% |
| Asset Management | 0.0 | 0.0% | 1.5 | 0.4% | - | - | -99.3% | - |
| Insurance and Pension Funds | 0.0 | 0.0% | 0.0 | 0.0% | - | - | - | - |
| Other Investors | 0.3 | 0.1% | 0.3 | 0.1% | 0.1 | 0.0% | 15.0% | 375% |
| Retail | 24.7 | 7.0% | 26.7 | 7.1% | 21.1 | 8.2% | -7.4% | 16.8% |
| Others | 71.7 | 20.3% | 81.3 | 21.6% | 35.2 | 13.6% | -11.8% | 103.5% |
| Institutional | 39.7 | 11.2% | 34.8 | 9.3% | 15.6 | 6.0% | 14.1% | 154.9% |
| Asset Management | 35.2 | 10.0% | 26.1 | 6.9% | 11.2 | 4.3% | 34.8% | 213.8% |
| Insurance and Pension Funds | 0.4 | 0.1% | 0.1 | 0.0% | 0.1 | 0.0% | 193.6% | 295.0% |
| Other Investors | 4.1 | 1.2% | 8.6 | 2.3% | 4.3 | 1.7% | -51.9% | -3.5% |
| Retail | 31.9 | 9.0% | 46.4 | 12.3% | 19.6 | 7.6% | -31.3% | 62.6% |
|
TOTAL |
353.5 |
100.0% |
376.3 |
100.0% |
258.7 |
100.0% |
-6.1% |
36.6% |
Table 5 - Day-Trading Volume (€ million) per Residence and Type of Investor
| |
3rd Q 2013 |
2nd Q 2013 |
3rd Q 2012 |
Quarterly
var. |
Annual
var.
|
| |
Value |
% |
Value |
% |
Value |
% |
| Resident | 331.9 | 93.9% | 361.1 | 96.0% | 254.6 | 98.4% | -8.1% | 30.4% |
| Institutional | 35.8 | 10.1% | 42.2 | 11.2% | 28.1 | 10.9% | -15.0% | 27.4% |
| Asset Management | 30.5 | 8.6% | 33.1 | 8.8% | 23.3 | 9.0% | -8.1% | 30.5% |
| Insurance and Pension Funds | 0.4 | 0.1% | 0.1 | 0.0% | 0.1 | 0.0% | 200.3% | 304.0% |
| Other Investors | 5.0 | 1.4% | 8.9 | 2.4% | 4.7 | 1.8% | -44.3% | 5.8% |
| Retail | 296.1 | 83.8% | 318.9 | 84.8% | 226.4 | 87.5% | -7.2% | 30.8% |
| Non-Resident | 21.6 | 6.1% | 15.2 | 4.0% | 4.1 | 1.6% | 41.7% | 423.1% |
| Institutional | 17.5 | 4.9% | 10.6 | 2.8% | 0.3 | 0.1% | 64.7% | 5569.9% |
| Asset Management | 15.9 | 4.5% | 8.8 | 2.3% | 0.0 | 0.0% | 81.0% | 47128.8% |
| Insurance and Pension Funds | 0.0 | 0.0% | 0.0 | 0.0% | - | - | - | - |
| Other Investors | 1.5 | 0.4% | 1.8 | 0.5% | 0.3 | 0.1% | -15.5% | 452.9% |
| Retail | 4.1 | 1.2% | 4.6 | 1.2% | 3.8 | 1.5% | -10.9% | 7.8% |
|
TOTAL |
353.5 |
100.0% |
376.3 |
100.0% |
258.7 |
100.0% |
-6.1% |
36.6% |
Table 6 - Day-Trading per Own Portfolio and Third-Party Portfolio (€ million)
| |
3rd Q 2013 |
2nd Q 2013 |
3rd Q 2012 |
Quarterly var. |
Annual var. |
| |
Value |
% |
Value |
% |
Value |
% |
| Own Portfolio | 10.4 | 2.8% | 9.9 | 2.6% | 13.5 | 4.9% | 4.7% | -22.9% |
| Third-Party Portfolio | 353.5 | 97.2% | 376.3 | 97.4% | 258.7 | 95.1% | -6.1% | 36.6% |
|
TOTAL |
363.8 |
100.0% |
386.2 |
100.0% |
272.1 |
100.0% |
-5.8% |
33.7% |
Table 7 - Market Concentration (Day-Trading Volume)
|
|
C3
(Monthly Average) | 49.2% | 47.5% | 50.2% | 1.7 pp | -1.0 pp |
|
C5
(Monthly Average) | 67.0% | 63.3% | 66.8% | 3.7 pp | 0.2 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 "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 08 November 2013 and any information reported or corrected after said period was not taken into account.
