Traditionnellement, les fêtes de fin d’année sont une période faste pour les marchés actions. Les pessimistes en vacances, les bonus de fin d’année ou la joie de cette période de fête sont autant de raisons discutables avancées pour expliquer ce phénomène. Toujours est-il que pratiquement tous les ans, pendant les deux semaines incluant noël et le nouvel an, le marché progresse mieux que sa moyenne de l’année, dans des volumes restant toutefois assez faibles.

Pour quantifier cet effet sur les dix dernières années, j’ai reconstitué les performances annuelles du CAC 40 depuis 2001 que j’ai comparées aux performances de ce même CAC 40 sur la période allant du 15 décembre au 03 janvier, chaque année. Ces performances sont ensuite annualisées pour faciliter la comparaison. Les résultats sont visibles dans le tableau suivant :

La magie de noël semble faire son office avec une certaine régularité puisque tous les ans excepté 2007 (soit 9 années sur 10), le CAC 40 est monté sur la période des fêtes de fin d’année, toujours mieux que sa performance sur l’année entière ! En annualisé il enregistre une performance moyenne de 51.2% du 15 décembre au 03 Janvier, quand il a en moyenne perdu 2.8% sur l’année écoulée.

2011 et ses problèmes de dettes en Europe et aux Etats-Unis semblent annoncer une fin d’année un peu plus agitée que d’ordinaire, alors qu’attendre des marchés pour les jours qui viennent ?

Phénomène fantaisiste autoalimenté ou réalité saisonnière, le statisticien prônera la méfiance quant à l’interprétation d’un échantillon de données si petit, mais même à l’âge adulte, il est encore possible de croire au père noël 

EDIT 15/01/13: Le rallye de noël encore visible en 2012! Avec une progression de 2.13% entre le 14/12 et le 03/01 (soit près de 50% annualisés), la période de noël surperforme largement l’année complète et ses 15.2%

The post Marchés actions: un rallye de noël en 2011? first appeared on In Fine - Le Blog.

As you may know, the trading day of exchange places is divided into several specific phases. This article aims to present those main periods and their use. I will specifically address Eurex (derivatives market) and London Stock Exchange (cash market), as they show the periods for two different kinds of equity markets.

Eurex is one of the three largest derivative exchanges with NYSE Euronext Liffe and Chicago Mercantile Exchange. Eurex is owned by Deutsche Börse and based in Frankfurt. London Stock Exchange (LSE) is the largest stock exchange in Europe (in terms of market capitalization) and the fourth largest in the world. As specified in its name, LSE is located in London.

Even if the trading periods are always slightly different in different markets, general ideas remain nearly identical. A trading day usually runs from early morning (7:30 am for Eurex and 8 am for LSE) to late afternoon (4:30 pm for LSE) or even later (10:30 pm for certain products managed by Eurex!).  A trading day is typically made of 3 main phases which will be described in the next sections:

• Pre-trading
• Trading
• Post-trading

These phases can also contain sub-phases depending on the specific market rules of each exchange.

1. Pre-trading period

This first period takes place outside of regular trading hours.

For Eurex, during this phase, traders are allowed to prepare for the opening by entering quotes and orders. However, nothing is executed at this point. At this time, aggregated bid/ask prices and sizes are available. This period starts at 7:30am.

LSE has no pre-trading period as defined by Eurex, but it proposes a “trading reporting” from 7:15pm to 7:50pm. This “trading reporting” will not be addressed in this current summary.

2. Trading period

Following the pre-trading phase is the trading period which consists of several sub-phases. For Eurex and LSE, for example, it is roughly made of 3 main phases:

• Opening
• Trading
• Closing Auction

2.1 Opening

Opening is used to determine the opening price for each product. Therefore, it is used to start the continuous trading subphase. Contrary to trading phase, as we will see later, matching engines does not use price/time priority to determine the opening price. Instead, the opening price is calculated in order to get the maximum executable volume. Below is an example to illustrate this calculation:

• Example: Auction phase

Let’s consider the following book:

Now let’s consider the accumulated bid and ask for each price.

The executable volume is defined as the minimum between the accumulated bids and asks. The price for which the executable volume is maximized will be the opening price. In this example, 60 contracts will be executed at the price of 9.50.

Price/time priority is used at the end of this auction period to determine which orders will be executed first. As a consequence, the 15 contracts at 9.00 will be executed first and only 45 contracts at 9.50 will be executed, considering the time priority.

Where there are two maximum executable volumes (for two different prices), the following rules are applied: the opening price cannot be higher than the best ask or lower than the best bid immediately after the auction phase.

After determining the opening price, the continuous trading phase is launched. The opening auction lasts 10 minutes for LSE (from 7:50 to 8pm). For Eurex, this phase is slightly more complicated, since the opening period consists of three separated parts: pre-opening, freeze and netting. The “Freeze” component allows Eurex Market Supervision to review the opening price. However, the aim of this period remains the same as for LSE.

2.2 Trading

As soon as the trading period starts, orders and quotes are added and compared continuously in the book for each product. As shown above, a book is divided into the bid side and the ask side. When an order or quote is entered during this phase, it is automatically compared with its corresponding contra-side. If the proposed price is better or equal to existing orders or quotes on its contra-side, then they are automatically matched (trade). Those ones which are not executed are added in the book and can be changed or deleted as required.

During the trading period, each market can have their own individual rules. Normal trading can be interrupted by small period of auction or fast market periods, according to the defined rules for each market.

For example, Eurex allows fast market periods on a per-product basis in case of high volatility (a measure for variation of price of a financial instrument over time). Other markets allow auction phases in case of high volatility. The calculation of the auction price follows the calculation described for the opening price.

At the end of the trading day, each product enters into another auction phase called closing auction.

2.3 Closing auction

Closing auction is used to calculate the closing price which represents the price of a product at the end of the day. The calculation during the closing auction is the same as for the opening auction. All quotes and orders available in the book are automatically transferred into the closing auction. However, if the price differs considerably from a reference price then it can be cancelled and the product may end without a closing price (Eurex).

For LSE the closing auction spans from 16:30 to 16:35. For Eurex, it depends on the product.

3. Post-trading

After a trading period, a product enters post-trading. This phase is different for each market. LSE, for example, defines a maintenance period and a “trade reporting only” phase from 16:35 to 17:00.

Concerning Eurex, right after the auction period, you are still able to enter quotes and orders but only for the next trading day. These quotes and orders will be available for the opening auction the next day.

Conclusion

As previously seen, main trading phases are roughly the same for all markets. However, they are always some differences that can be determined by reading the market rules available on the website of each market. This presentation is far from being exhaustive and other points could be explained more precisely (VWAP, order types available during each phase,…), however we hope to provide a good idea of the general phases during a trading day.

A list of the trading hours for all more markets is present on: http://en.wikipedia.org/wiki/List_of_market_opening_times

Bibliography

http://www.eurexchange.com/trading/market_model_en.html

http://www.londonstockexchange.com/home/homepage.htm

http://en.wikipedia.org/wiki/London_Stock_Exchange

http://en.wikipedia.org/wiki/List_of_market_opening_times



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L’effet corner

Lorsque des acteurs du marché parient à la baisse sur un titre du marché français, ils peuvent vendre ce titre à découvert au SRD (service de règlement différé) si ce titre y est éligible. Ceci leur permet de vendre des actions qu’ils n’ont pas encore, sans transfert d’argent.

Puis le jour de la liquidation (5^ème jour ouvré avant le dernier jour du mois civil, pour le calendrier des liquidations c’est ici), ils doivent décider :

• de racheter les titres et donc encaisser (si le cours a baissé) ou payer (si le cours a monté) la différence
• ou de différer la livraison au mois suivant

Si avant le jour de la liquidation, le titre a monté, l’investisseur qui a vendu à découvert au SRD peut donc choisir de payer la moins-value réalisée ou de différer la livraison et espérer que le titre baisse d’ici le mois suivant, auquel cas il devra payer des frais supplémentaires à son broker. Si un grand nombre d’investisseurs se retrouve dans ce cas à l’approche de la liquidation et si une partie de ceux-ci choisissent de racheter leur position, le titre peut se mettre à monter et déclencher un « effet de panique » chez les autres qui peuvent décider de racheter eux aussi leur position entraînant une réaction en chaîne poussant le titre à la hausse. Cet effet de panique peut être d’autant plus important que la liquidité sur le titre est petite et que le capital flottant¹ ne représente qu’une faible part de la capitalisation totale.

Le cas Hermes International

Sur Hermes International, la journée du 25 octobre, jour de la liquidation du mois d’octobre, le titre a flambé et pris +15.1%. Ce phénomène, associé à un flottant particulièrement faible sur le titre (les familles actionnaires et LVMH détenant près de 85% des actions), laisse penser qu’un effet corner a bien eu lieu, et le dégonflement du cours dans les jours qui suivent tend à le confirmer…

¹ Le flottant est la part de la capitalisation d’une société pouvant réellement s’échanger sur les marchés boursiers

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