International Review of Equity Market Structure Regulation, Phase 2: Quantitative Analysis

31 Pages Posted: 13 Jan 2021

See all articles by John Gulliver

John Gulliver

Program on International Financial Systems

Hal S. Scott

Harvard Law School

Date Written: October 8, 2020


Phase II of PIFS’ international review of equity market structure regulation sets forth a quantitative analysis of equity markets in the People’s Republic of China (including both the Mainland market and the Hong Kong Special Administrative Region), the European Union, Japan, and the United States.

In Part I: Market Characteristics, we present summary statistics as to trading volume in each market, including recent trends and the share of on-exchange and off-exchange trading from 2011 until the end of 2019. We also address the relative share of trading volume attributable to institutional investors as compared to retail investors and compare trade sizes in each market. We find that on-exchange trading volumes and the share turnover ratio in Mainland China have significantly increased since 2011, as compared to the other four markets. We also find that a significant percentage of trades are executed off-exchange in the E.U. and U.S. but not in Hong Kong or Mainland China.

In Part II: Comparative Analysis of Trading Costs, we review non-public datasets from Virtu Financial and AbelNoser, two leading global providers of transaction cost analysis, to assess the performance of global equity markets for institutional investors. We have not been able to identify data to compare retail trading costs across markets, however, as demonstrated in Part I, the majority of trading volume in the E.U., Hong Kong, Japan and U.S. markets is institutional. In Part II, we evaluate changes from 2015-2019 in each of the markets as to institutional order size, brokerage commissions, price impact and overall trading costs. Three key findings are apparent from our review. First, price impact costs are the primary driver of overall trading costs for institutional investors across all five markets. Second, brokerage commission costs have significantly declined across all five markets and overall trading costs have also generally declined in recent years. Third, the United States has the lowest overall trading costs of the five major markets.

Keywords: Equity Market Structure Regulation, Financial Systems

Suggested Citation

Gulliver, John and Scott, Hal S., International Review of Equity Market Structure Regulation, Phase 2: Quantitative Analysis (October 8, 2020). Available at SSRN:

John Gulliver (Contact Author)

Program on International Financial Systems ( email )

134 Mt Auburn St.
Cambridge, MA 02138
United States
02138 (Fax)

Hal S. Scott

Harvard Law School ( email )

1557 Massachusetts Avenue
Cambridge, MA 02138
United States
617-495-4590 (Phone)
617-495-9593 (Fax)

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