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Move to improve SGX market transparency

Move to improve SGX market transparency

THE Singapore Exchange (SGX) has launched a public consultation on proposed tweaks to the pre-opening and pre-closing routines of the securities market.

SGX said yesterday that the changes would improve market transparency. It is first proposing to publish the indicative equilibrium price (IEP) in real time throughout the pre-open and pre-close phases.

SGX’s pre-open period runs from 8.30am to 8.59am, while its pre-close session is from 5.01pm to 5.05pm.

Created in 2000, these pre-open and pre-close sessions are used to electronically match orders that were not executed during trading hours. They were introduced to get rid of index-rigging and price-fixing.

During these times, market players can currently see the total buy and sell quantities, but at various bid and offer prices.

SGX is now proposing to publish IEP – the price at which orders would be executed if auction matching were to occur at that point. This price would then form the opening or closing price instead. IEP is used in markets such as Hong Kong as well.

‘With this information, market participants are better able to assess market demand and supply conditions, and adjust their orders accordingly,’ SGX said yesterday.

In its second proposal, SGX has asked for a ‘random end’ to the pre-close phase of the closing routine. Currently, the pre-close phase is fixed at five minutes after the trading session. SGX now wants to randomise the end of the pre-close phase for a varying duration between four and five minutes.

The end of the pre-close phase will be synchronised across all counters. The varying time period aims to protect the integrity of the closing price against the impact of sudden large entry and withdrawal orders, SGX said.

‘Together with other initiatives including a reduction in the minimum bid size of securities from July 4, 2011, these new improvements are expected to enhance the market.’

Adapted from The Business Times (By Jamie Lee)

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Symbol Bid Ask Spread
EURUSD 1.17630 1.17650 2
GBPUSD 1.28320 1.28350 3
USDCAD 1.25410 1.25440 3
USDJPY 109.410 109.430 2
USDCHF 0.96790 0.96820 3
AUDUSD 0.79230 0.79260 3
NZDUSD 0.72950 0.73000 5
EURGBP 0.91650 0.91680 3
EURCHF 1.13870 1.13900 3
EURJPY 128.710 128.740 3
AUDJPY 86.680 86.730 5
GBPJPY 140.400 140.460 6
XAUUSD 1285.80 1286.20 40
XAGUSD 16.980 16.994 1.4