INDUSTRY

Market Lens: Has Market Structure Evolution Made Equities Less Liquid?

September 27, 2019

We are excited to share the latest report on our Market Lens series. This analysis examines the impact that market structure evolution has had on stock market liquidity over the past eight years, as well as the relationship between liquidity and the recent return of volatility.

While some market observers have blamed recent periods of volatility on market structure changes resulting in thinner liquidity conditions, our findings show that stock market liquidity has actually been remarkably stable.  Our analysis of approximately 100 terabytes of exchange feed data from over the past eight years also yielded important insights into the structural relationships between spreads, liquidity and share price and how they evolve over time.

We hope that this report helps dispel some of the common misperceptions about liquidity and sparks further discussion about the true causes of volatility in equities and other asset classes.

Click here to check out the full report.