Capital Markets Co-operative Research Centre (CMCRC) today opened a new portal for its research that measures and ranks the quality of global securities markets.
The Market Quality Forum is a free resource. It publishes monthly statistics for various market metrics including costs of trading in various markets; incidences of insider trading and market manipulation; and metrics around liquidity provision, for all the major markets in the world.
The Forum was conceived by CMCRC Chief Scientist, Michael Aitken. It's the first time such extensive data on the efficiency and integrity of markets has been made regularly available for free.
"The idea behind this is to get people talking about market quality, and show them how dynamic it is. You can see the influence of policy changes as they come into effect - it's fascinating stuff and I'm very pleased that CMCRC has been able to unlock this information and make it available. "
The data in the Forum is part of a broad, global review of market quality, the Market Quality Framework, which Aitken's team has been developing over the past ten years.
"The problem regulators face is that they have to make decisions that will directly impact their markets, but often without proper research or hard data," he said. "Market consultation is all well and good, but at the end of the day if you're making decisions based upon people's opinions and vested interests, that's obviously not optimal."
Utilising the SIRCA global data feed, SMARTS market surveillance software and the research of the CMCRC, the Market Quality Framework allows regulators and market participants to empirically assess the impact of market design changes on efficiency and integrity.
"We've been working with exchanges, regulators and market participants all over the world - from Vancouver to Paris to Hong Kong," Professor Aitken said. "What we want to achieve is a global set of standards by which market efficiency and integrity can be measured, and within which market design changes can be tested. This will allow regulators to verify that the changes they implement actually lead to gains in efficiency and integrity."