The Committee of European Securities Regulators
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THE COMMITTEE OF EUROPEAN SECURITIES REGULATORS REF: CESR/04-717ANNEX 1 CESR EXPERT GROUP ISD MARKETS ANNEX TO THE CONSULTATION DOCUMENT CESR/04-562 The trade data made available on this web-site has been supplied to CESR by exchanges in member states to assist CESR in developing its advice to the EU Commission in respect of a number of implementing measures relating to the Markets in Financial Instruments Directive (2004/39/EC). In particular, CESR has to provide advice in respect of what should be considered a liquid share the purposes of Article 27, and on standard market size and block sizes. CESR is extremely grateful to exchanges for providing data so quickly. However, readers of the data should be aware that: 1. The data has been supplied solely to assist CESR in developing its advice to the Commission. 2. The data was requested on a short-time scale and exchanges supplied the data without the opportunity to review and correct any errors in a way that they would otherwise have done. 3. Some of the data from the different exchanges has not been prepared on a comparable basis. This is because CESR was concerned to obtain indicative data to work with and, in the circumstances, it would have been unreasonable to request exchanges to conduct the additional work that would have been required to produce data using computation methodologies that they might not normally use. 4. Absolute differences in some elements of the data, especially spread data, should be recognised as being influenced by different trading methodologies and structures. In the case of spread data, the size of the spread will be significantly influenced by such factors as the minimum tick size. In any event, the spreads offer no indication of the depth of liquidity available at the best bid and offer prices in individual shares. This annex contains the data from those CESR members which were able to deliver the requested data and which agreed to publish the data. Three CESR members (Estonia, Lithuania and Slovak Republic) were not able to provide the data at this stage. Additionally two exchanges which provided the data for the expert group did not give their permission to publish it (London Stock Exchange and Virt-X) and one exchange wanted to limit the content of published information (Irish Stock Exchange). For technical reasons the data is published in six separate files. There are seprate files for Euronext, Germany, Iceland and Hungary and a joint file for all other CESR members. The sixth file cotains the calculation parameters used by Euronext. 11-13 avenue de Friedland - 75008 PARIS - FRANCE - Tel.: 33.(0).1.58.36.43.21 - Fax: 33.(0).1.58.36.43.30 Web site: www.cesr-eu.org BELGIUM / EURONEXT BRUSSELS Please see a separate file. - 2 - CZECH REPUBLIC / PRAGUE STOCK EXCHANGE Average number Average Percentage of Summed Traded of trades per turnover per total turnover percentage of Turnover Average daliy trading day (# of trading day (in in the market total turnover velocity spread ISIN-code Name of the Share (Y/N) trades) mil. EUR) (%) (%) (%) (%) CZ0008019106 KOMERČNÍ BANKA Y 116,95 12,44 39,33 39,33 122,07 0,25 CZ0009093209 ČESKÝ TELECOM Y 102,64 7,98 25,24 64,57 68,28 0,31 CZ0005112300 ČEZ Y 88,37 5,44 17,2081,77 64,53 0,34 CS000841886 9 PHILIP MORRIS ČR Y 34,58 2,36 7,46 89,23 78,09 0,54 AT0000652011 ERSTE BANK Y 23,99 1,59 5,04 94,28 2,17 0,37 CZ0009091500 UNIPETROL Y 42,42 1,06 3,37 97,64 90,22 0,71 CZ0009054607 ČESKÉ RADIOKOMUN. N 27,67 0,58 1,85 99,49 62,53 0,87 CZ0008002755 ČESKÁ POJIŠŤOVNA N 1,22 0,08 0,26 99,75 5,02 x CZ0005098251 ISPAT NOVÁ HUŤ N 5,94 0,04 0,12 99,87 11,43 x CZ0005103952 SOKOLOVSKÁ UHELNÁ N 0,54 0,02 0,05 99,92 4,20 x CS000503415 6 KABLO ELEKTRO N 0,05 0,01 0,04 99,96 17,29 x CS000502285 4 SSŽ N 0,22 0,00 0,01 99,97 1,42 x CS000841975 0 ENERGOAQUA N 0,01 0,00 0,01 99,98 4,46 x CS000841625 1 PVT N 0,12 0,00 0,01 99,98 0,88 x CZ0005078253 STČ ENERGETICKÁ N 0,15 0,00 0,00 99,99 0,19 x CZ0005102350 SEVEROČESKÉ DOLY N 0,32 0,00 0,00 99,99 0,16 x CZ0005078352 SM ENERGETIKA N 0,10 0,00 0,00 99,99 0,08 x CZ0005100651 OKD N 0,18 0,00 0,0099,99 0,07 x CZ0005091959 ALIACHEM N 0,23 0,00 0,00100,00 0,59 x CZ0005091355 PARAMO N 0,08 0,00 0,00100,00 0,35 x CS000501845 6 TATRA N 0,42 0,00 0,00 100,00 0,86 x CZ0005078055 SČ ENERGETIKA N 0,04 0,00 0,00 100,00 0,03 x - 3 - CS000842055 0 MADETA N 0,02 0,00 0,00 100,00 0,32 x CS000503115 2 ŽĎAS N 0,07 0,00 0,00100,00 0,31 x CZ0005005850 JČ PAPÍRNY VĚTŘNÍ N 0,17 0,00 0,00 100,00 0,68 x CZ0005076950 VČ ENERGETIKA N 0,06 0,00 0,00 100,00 0,02 x CZ0005077354 ZČ ENERGETIKA N 0,07 0,00 0,00 100,00 0,01 x CS000842495 8 SPOLANA N 0,02 0,00 0,00 100,00 0,14 x CZ0005018259 SLEZAN FRÝDEK-MÍS. N 0,04 0,00 0,00 100,00 0,12 x CZ0005077057 JČ ENERGETIKA N 0,06 0,00 0,00 100,00 0,01 x CS000841855 4 STOCK PLZEŇ N 0,04 0,00 0,00 100,00 0,04 x CZ0005092858 SPOLEK CH.HUT.VÝR. N 0,16 0,00 0,00 100,00 0,06 x CS000841245 8 METALIMEX N 0,02 0,00 0,00 100,00 0,01 x CZ0008460052 SETUZA N 0,10 0,00 0,00100,00 0,09 x CZ0005092452 SČ PLYNÁRENSKÁ N 0,00 0,00 0,00 100,00 0,01 x CZ0005112607 ALIACHEM N 0,23 0,00 0,00100,00 0,05 x ČESKOMORAVSKÉ CZ0005103457 DOLY N 0,11 0,00 0,00100,00 0,04 x CS000845865 9 UNITED ENERGY N 0,02 0,00 0,00 100,00 0,01 x CZ0009055158 PRAŽSKÉ SLUŽBY N 0,03 0,00 0,00 100,00 0,01 x CZ0008418001 FINOP HOLDING N 0,04 0,00 0,00 100,00 0,00 x CS000842395 0 TEPLÁRNA ÚSTÍ N.L. N 0,01 0,00 0,00 100,00 0,02 x CZ0008418951 LAFARGE CEMENT N 0,03 0,00 0,00 100,00 0,00 x CS000502915 6 ČESKÁ ZBROJOVKA N 0,04 0,00 0,00 100,00 0,01 x CS000845215 7 TEPLÁRNY BRNO N 0,01 0,00 0,00 100,00 0,01 x CZ0005078154 PRAŽSKÁ ENERGETIKA N 0,04 0,00 0,00 100,00 0,00 x CZ0005077958 JM ENERGETIKA N 0,02 0,00 0,00 100,00 0,00 x CZ0005082255 NKT CABLES N 0,03 0,00 0,00 100,00 0,01 x - 4 - CZ0005078956 JM PLYNÁRENSKÁ N 0,01 0,00 0,00 100,00 0,00 x CZ0005088559 TOMA N 0,01 0,00 0,00100,00 0,01 x CS000500896 0 MEOPTA PŘEROV N 0,01 0,00 0,00 100,00 0,01 x CS000842285 3 LÁZNĚ TEPLICE V Č. N 0,02 0,00 0,00 100,00 0,01 x CS000843525 1 SM VOD.A KAN.OVA N 0,00 0,00 0,00 100,00 0,00 x CZ0009048955 KOTVA N 0,01 0,00 0,00100,00 0,00 x CZ0005078857 JČ PLYNÁRENSKÁ N 0,01 0,00 0,00 100,00 0,00 x CZ0005084350 PRAŽSKÁ PLYNÁREN. N 0,00 0,00 0,00 100,00 0,00 x CS000844675 3 LÉČ.LÁZNĚ JÁCHYMOV N 0,01 0,00 0,00 100,00 0,00 x CZ0005084459 SM PLYNÁRENSKÁ N 0,00 0,00 0,00 100,00 0,00 x CZ0005092551 VČ PLYNÁRENSKÁ N 0,00 0,00 0,00 100,00 0,00 x CS000500685 7 ŠKODA PRAHA N 0,00 0,00 0,00 100,00 0,00 x CS000841585 7 WIENERBERGER C.P. N 0,00 0,00 0,00 100,00 0,00 x TARMAC CZ0005074351 SEVEROKÁMEN N 0,00 0,00 0,00 100,00 0,00 x CZ0005077453 PLZEŇSKÁ TEPLÁREN. N 0,00 0,00 0,00 100,00 0,00 x CZ0005078659 STČ PLYNÁRENSKÁ N 0,00 0,00 0,00 100,00 0,00 x CZ0005078758 ZČ PLYNÁRENSKÁ N 0,00 0,00 0,00 100,00 0,00 x CZ0008413556 ČESKÁ NÁMOŘ.PLAVBA N 0,00 0,00 0,00 100,00 0,00 x - 5 - DENMARK / COPENHAGEN STOCK EXCHANGE Percentag Summed Average number e of total percentag Trade of trades per Average turnover turnover in e of total Turnover Average d daily trading day (# of per trading day the market turnover velocity spread ISIN-code Name of the Share (Y/N) trades) (million €) (%) (%) (%) (%) DK0010274414 Danske Bank Y 553 35 084 564 15,975% 15,98 % 10 % 0,20 % DK0010244342 D/S 1912 B Y 727 33 700 515 15,345% 31,32 % 11 % 0,28 % DK0010280817 Novo Nordisk B (107.4872m) Y 602 30 071 363 13,693% 45,01 % 11 % 0,22 % DK0010253335 TDC Y 564 21 622 271 9,845% 54,86 % 13 % 0,16 % DK0010291699 Group 4 Falck Y 398 11 885 255 5,412% 60,27 % 27 % 0,28 % DK0010268606 Vestas Wind Systems Y 633 11 276 673 5,135% 65,40 % 33 % 0,37 % DK0010267046 ISS Y 237 7 239 704 3,296% 68,70 % 16 % 0,29 % DK0010287234 H.