Singapore Exchange Ltd (SGX)

Singapore Exchange is Asia’s leading and trusted market infrastructure, facilitating the exchange of capital and ideas to create value for people, businesses and economies. As a multi-asset exchange operating equity, fixed income and derivatives markets to the highest regulatory standards, SGX is a vertically integrated business that provides listing, trading, clearing, settlement, depository and data services.

With about 40% of listed companies and over 80% of listed bonds originating outside of Singapore as well as established linkages across the region and in Europe, SGX is Asia’s most international and connected exchange. Offering a full suite of derivatives products across Asian equity indices, commodities and currencies, SGX is the world’s most liquid international market for the benchmark equity indices of China, India, Japan and ASEAN.

As Asia’s pioneering central counterparty, SGX is globally recognised for its risk management and clearing capabilities, and was one of the first globally to adopt the Principles for Financial Market Infrastructure.

Headquartered in AAA-rated Singapore, SGX has over 800 employees including offices in Beijing, Chicago, Hong Kong, London, New York, Mumbai, San Francisco, Shanghai and Tokyo.

Asia’s leading multi-asset exchange

SGX Market Strategist, Equity & Fixed Income, Singapore Exchange Ltd (SGX)

Geoff Howie

SGX Market Strategist, Equity & Fixed Income

Equity Bottom-Up

DFI Retail Group Holdings / Equity Bottom-Up





Regional stock volatility saw increased intraday trading opportunities in 2020. For half the year, the 30 day volatility of the FTSE ASEAN All-Share Index was above 15%, with no such days in 2019 and two trading sessions in 2018. The STI is highly correlated to the FTSE ASEAN All-Share Index. 
	 
	
STI stocks with most increases in intra-day annualised volatility in 2020 included Singapore Airlines, SATS, ComfortDelGro, DBS, Jardine Strategic Holdings, Sembcorp Industries, UOB, OCBC, CityDev and Thai Beverage. As a group, the 10 stocks maintained 43% median intra-day annualised volatility. 
	 
	Half the STI constituents saw an increase in the dollar size of their best prevailing bids and offers in 2020. The five stocks that saw the greatest increases in percentage terms included Singapore Airlines, Jardine Cycle &amp; Carriage, ComfortDelGro Corporation, Dairy Farm International and SATS. 

 

 Volatility Shaped Intraday Trading Ranges  
The first two key phases of the ASEAN stock market in 2020 saw the FTSE ASEAN All-Share Index decline 40% through to the 23 March 2020 close, before gradually and partially recovering 30% to 30 October. The third and final phase saw global vaccine developments propel the Index to a 21% gain over the final two months of the year. The Index is comprised of more than 1000 stock listed across Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam, with these respective price returns in USD.  
During 2020, the FTSE ASEAN All-Share Index was approximately 75% correlated to the FTSE China Index and 40% correlated to the FTSE United States Index. Since 2015, the total value of trade between China and its partners in Developing Asia has soared 45%. Across commodities, the Index was approximately 40% Crude Palm Oil Prices and SGX SICOM Rubber Futures, while 25% correlated to Brent Crude Oil Futures.  The 2020 year saw 133 trading sessions with the 30 day Historical Volatility of the FTSE ASEAN All-Share Index above 15%. There were no such days in 2019 and two trading sessions in 2018 when the 30 day gauge surpassed 15%. The median daily trade range of the FTSE ASEAN All-Share Index in 2020 almost doubled the median of 2019. Comparative returns and volatility (sourced from the FTSE Asian Monthly Report) illustrated below show that while much of the region saw a single digit decline in 2020, median and average volatility was above 30%, double the levels of average annualised volatility at the beginning of 2020. Note the FTSE Singapore Index is not the Straits Times Index (“STI”), despite much overlap. The FTSE Singapore Index is part of a group of standardised set of country indices provided by FTSE Russell that enable apple-for-apple comparisons for monthly performance, volatility and yield on page 10 of the report.



      
    
    2020 Total return

Intraday Volatility Extended Across STI Constituents in 2020  
STI stocks with the most increases in intra-day annualised volatility in 2020 (compared to 2019) included Singapore Airlines, SATS, ComfortDelGro Corporation, DBS Group Holdings, Jardine Strategic Holdings, Sembcorp Industries, United Overseas Bank, Oversea-Chinese Banking Corporation, City Developments and Thai Beverage PCL. This intraday annualised volatility captured the standard deviation of logarithmic midpoint price returns at one-minute intervals throughout the trading day.  
Of the 10 stocks that saw the biggest increase in 2020 volatility compared to 2019, just three were among the 10 constituents that maintained the highest intraday volatility of the STI stocks in 2020 – Thai Beverage PCL, ComfortDelGro Corporation and Sembcorp Industries. This saw the median intraday volatility of the current 30 constituents increase from 45% in 2019 to 51% in 2020 with the average increasing from 50% to 60%.


      
    
    STI Stocks - Biggest Increase in Intraday 1-Minute Annualised Volatility in 2020


Intraday 1-minute Annualised Volatility represents the standard deviation of logarithmic midpoint price returns at one-minute intervals throughout the trading day, with median daily values applied. 
 

Enhanced Risk to Return for Intraday Traders   
The 10 STI stocks that saw the highest intraday moves in 2020 averaged daily amplitudes of 236 basis points (“bps”) in 2020, compared to the 208 bps average for the 30 STI stocks. Amplitude is simply the difference between daily high and daily low price divided by the volume weighted average price (“VWAP”) of the stock. The individual daily trading ranges for the 30 STI stocks are tabled below.   The five STI stocks that saw the highest trading range in terms of bps in 2020 were ComfortDelGro Corporation, Mapletree Commercial Trust, Sembcorp Industries, Thai Beverage PCL and Jardine Strategic Holdings averaging intraday ranges of 252 bps. Mapletree Commercial Trust was the only stock of the five among the five highest amplitude by bps stocks in 2019.    
While the five stocks saw daily amplitudes of approximately 2.5%, by comparison, the Spot Gold price generated a median daily range of 1.6% and Brent Crude Oil Futures generated a median daily range of 3.6% in 2020. 




			STI Stock
			
			
			2020 Intraday Volatility 1 min
			
			
			2019 Intraday Volatility 1 min
			
			
			2020 Median Amplitude in 

			ticks
			
			
			2019 Median Amplitude in ticks
			
			
			2020 Median Amplitude Bps
			
			
			2019 Median Amplitude Bps
			
		


			Ascendas REIT
			
			
			62%
			
			
			57%
			
			
			6
			
			
			4
			
			
			189
			
			
			130
			
		


			CapitaLand
			
			
			62%
			
			
			49%
			
			
			6
			
			
			4
			
			
			183
			
			
			116
			
		


			CICT
			
			
			93%
			
			
			69%
			
			
			5
			
			
			4
			
			
			231
			
			
			151
			
		


			CityDev
			
			
			33%
			
			
			24%
			
			
			18
			
			
			15
			
			
			215
			
			
			153
			
		


			ComfortDelGro
			
			
			112%
			
			
			68%
			
			
			4
			
			
			4
			
			
			262
			
			
			167
			
		


			DairyFarm USD
			
			
			48%
			
			
			80%
			
			
			10
			
			
			11.5
			
			
			231
			
			
			185
			
		


			DBS
			
			
			19%
			
			
			13%
			
			
			33
			
			
			25
			
			
			152
			
			
			100
			
		


			Genting Sing
			
			
			116%
			
			
			93%
			
			
			3
			
			
			2
			
			
			220
			
			
			115
			
		


			HongkongLand USD
			
			
			46%
			
			
			35%
			
			
			9
			
			
			9
			
			
			206
			
			
			150
			
		


			Jardine C&amp;C
			
			
			29%
			
			
			22%
			
			
			47
			
			
			51
			
			
			215
			
			
			161
			
		


			JMH USD
			
			
			35%
			
			
			27%
			
			
			103
			
			
			104
			
			
			209
			
			
			179
			
		


			JSH USD
			
			
			41%
			
			
			28%
			
			
			59
			
			
			56
			
			
			244
			
			
			175
			
		


			Keppel Corp
			
			
			36%
			
			
			29%
			
			
			9
			
			
			7
			
			
			159
			
			
			107
			
		


			Keppel DC REIT
			
			
			71%
			
			
			86%
			
			
			6
			
			
			3
			
			
			234
			
			
			179
			
		


			Mapletree Com Tr
			
			
			91%
			
			
			79%
			
			
			5
			
			
			4
			
			
			253
			
			
			183
			
		


			Mapletree Ind Tr
			
			
			66%
			
			
			67%
			
			
			6
			
			
			4
			
			
			217
			
			
			160
			
		


			Mapletree Log Tr
			
			
			98%
			
			
			108%
			
			
			5
			
			
			3
			
			
			243
			
			
			188
			
		


			OCBC Bank
			
			
			26%
			
			
			19%
			
			
			13
			
			
			11
			
			
			136
			
			
			94
			
		


			SATS
			
			
			58%
			
			
			33%
			
			
			8
			
			
			6
			
			
			241
			
			
			121
			
		


			Sembcorp Ind
			
			
			101%
			
			
			70%
			
			
			4
			
			
			4
			
			
			250
			
			
			178
			
		


			SGX
			
			
			28%
			
			
			24%
			
			
			13
			
			
			10
			
			
			145
			
			
			121
			
		


			SIA
			
			
			45%
			
			
			20%
			
			
			9
			
			
			9
			
			
			196
			
			
			98
			
		


			Singtel
			
			
			76%
			
			
			56%
			
			
			4.5
			
			
			4
			
			
			178
			
			
			126
			
		


			ST Engineering
			
			
			52%
			
			
			43%
			
			
			7
			
			
			5
			
			
			185
			
			
			128
			
		


			ThaiBev
			
			
			117%
			
			
			86%
			
			
			3
			
			
			3
			
			
			248
			
			
			169
			
		


			UOB
			
			
			19%
			
			
			14%
			
			
			30
			
			
			26
			
			
			138
			
			
			101
			
		


			UOL
			
			
			33%
			
			
			24%
			
			
			13
			
			
			10
			
			
			187
			
			
			136
			
		


			Venture
			
			
			25%
			
			
			22%
			
			
			34
			
			
			27
			
			
			192
			
			
			173
			
		


			Wilmar Intl
			
			
			50%
			
			
			45%
			
			
			9
			
			
			6
			
			
			223
			
			
			160
			
		


			YZJ Shipbldg SGD
			
			
			106%
			
			
			126%
			
			
			4
			
			
			4
			
			
			243
			
			
			267
			
		


			Median  
			
			
			51%
			
			
			44%
			
			
			8
			
			
			6
			
			
			215
			
			
			152
			
		


			Average 
			
			
			60%
			
			
			50%
			
			
			16
			
			
			13
			
			
			208
			
			
			149
			
		

 

15 STI Stocks See More $ on the Best Bid/Ask in 2020    
The stocks with the Best Average Depth in 2020 included Singapore Telecommunications, Genting Singapore, Yangzijiang Shipbuilding, CapitaLand Integrated Commercial Trust and Thai Beverage PCL. Best Average Depth represents the average value of all quotes posted at the highest bid price and the lowest ask price on the order book throughout the sessions of 2020 with the observations weighed to time.  
As many as 15 of the STI stocks saw an increase in their respective Best Average Depth in 2020. The stocks that saw the greatest increases in percentage terms included Singapore Airlines, Jardine Cycle &amp; Carriage, ComfortDelGro Corporation, Dairy Farm International and SATS.



      
    
     Percentage Growth in Best Average Depth $ in 2020 (from 2019)




			STI Stock
			
			
			2020 Best Ask Depth
			
			
			2020 Best Bid Depth
			
			
			2020 Average Depth
			
			
			2019 Best Ask Depth
			
			
			2019 Best Bid Depth
			
			
			2019 Average Depth
			
		


			Ascendas REIT
			
			
			$     1,566,326
			
			
			 $     1,642,197
			
			
			 $     1,604,261 
			
			
			 $     2,651,044
			
			
			 $     2,977,082
			
			
			 $     2,814,063 
			
		


			CapitaLand
			
			
			$     1,029,109
			
			
			 $     1,176,673
			
			
			 $     1,102,891 
			
			
			 $     1,153,388
			
			
			 $        991,286
			
			
			 $     1,072,337 
			
		


			CICT
			
			
			$     1,863,414
			
			
			 $     1,836,322
			
			
			 $     1,849,868 
			
			
			 $     2,049,234
			
			
			 $     2,055,219
			
			
			 $     2,052,227 
			
		


			CityDev
			
			
			$        124,924
			
			
			 $        129,887
			
			
			 $        127,405 
			
			
			 $        112,387
			
			
			 $        104,597
			
			
			 $        108,492 
			
		


			ComfortDelGro
			
			
			$     1,620,514
			
			
			 $     1,807,998
			
			
			 $     1,714,256 
			
			
			 $        920,163
			
			
			 $        948,937
			
			
			 $        934,550 
			
		


			DairyFarm USD
			
			
			$          64,694
			
			
			 $          73,167
			
			
			 $          68,931 
			
			
			 $          37,586
			
			
			 $          43,772
			
			
			 $          40,679 
			
		


			DBS
			
			
			$        322,862
			
			
			 $        350,978
			
			
			 $        336,920 
			
			
			 $        319,695
			
			
			 $        329,698
			
			
			 $        324,696 
			
		


			Genting Sing
			
			
			$     2,274,687
			
			
			 $     2,217,781
			
			
			 $     2,246,234 
			
			
			 $     3,022,821
			
			
			 $     2,864,809
			
			
			 $     2,943,815 
			
		


			HongkongLand USD
			
			
			$        121,372
			
			
			 $        125,334
			
			
			 $        123,353 
			
			
			 $        163,393
			
			
			 $        172,285
			
			
			 $        167,839 
			
		


			Jardine C&amp;C
			
			
			$          61,683
			
			
			 $          52,353
			
			
			 $          57,018 
			
			
			 $          28,370
			
			
			 $          32,165
			
			
			 $          30,267 
			
		


			JMH USD
			
			
			$          29,894
			
			
			 $          31,131
			
			
			 $          30,513 
			
			
			 $          28,064
			
			
			 $          28,728
			
			
			 $          28,396 
			
		


			JSH USD
			
			
			$          18,170
			
			
			 $          20,746
			
			
			 $          19,458 
			
			
			 $          24,588
			
			
			 $          29,808
			
			
			 $          27,198 
			
		


			Keppel Corp
			
			
			$        322,506
			
			
			 $        380,949
			
			
			 $        351,728 
			
			
			 $        503,676
			
			
			 $        554,290
			
			
			 $        528,983 
			
		


			Keppel DC REIT
			
			
			$        505,795
			
			
			 $        504,169
			
			
			 $        504,982 
			
			
			 $     1,215,496
			
			
			 $        992,775
			
			
			 $     1,104,136 
			
		


			Mapletree Com Tr
			
			
			$        975,328
			
			
			 $        912,146
			
			
			 $        943,737 
			
			
			 $     2,271,040
			
			
			 $     1,970,478
			
			
			 $     2,120,759 
			
		


			Mapletree Ind Tr
			
			
			$        702,727
			
			
			 $        713,294
			
			
			 $        708,011 
			
			
			 $     1,195,849
			
			
			 $     1,025,034
			
			
			 $     1,110,442 
			
		


			Mapletree Log Tr
			
			
			$     1,596,101
			
			
			 $     1,491,967
			
			
			 $     1,544,034 
			
			
			 $     2,882,817
			
			
			 $     2,730,398
			
			
			 $     2,806,608 
			
		


			OCBC Bank
			
			
			$        454,581
			
			
			 $        529,617
			
			
			 $        492,099 
			
			
			 $        443,734
			
			
			 $        489,709
			
			
			 $        466,722 
			
		


			SATS
			
			
			$        308,233
			
			
			 $        349,187
			
			
			 $        328,710 
			
			
			 $        241,953
			
			
			 $        239,792
			
			
			 $        240,872 
			
		


			Sembcorp Ind
			
			
			$        560,819
			
			
			 $        613,747
			
			
			 $        587,283 
			
			
			 $        500,417
			
			
			 $        496,852
			
			
			 $        498,634 
			
		


			SGX
			
			
			$        272,737
			
			
			 $        270,813
			
			
			 $        271,775 
			
			
			 $        376,883
			
			
			 $        300,522
			
			
			 $        338,703 
			
		


			SIA
			
			
			$        403,691
			
			
			 $        566,800
			
			
			 $        485,245 
			
			
			 $        158,122
			
			
			 $        173,293
			
			
			 $        165,707 
			
		


			Singtel
			
			
			$     3,230,438
			
			
			 $     3,612,497
			
			
			 $     3,421,467 
			
			
			 $     4,068,289
			
			
			 $     3,757,557
			
			
			 $     3,912,923 
			
		


			ST Engineering
			
			
			$        441,095
			
			
			 $        437,335
			
			
			 $        439,215 
			
			
			 $        520,666
			
			
			 $        548,007
			
			
			 $        534,336 
			
		


			ThaiBev
			
			
			$     1,624,996
			
			
			 $     1,813,813
			
			
			 $     1,719,405 
			
			
			 $     1,377,477
			
			
			 $     1,228,406
			
			
			 $     1,302,941 
			
		


			UOB
			
			
			$        217,474
			
			
			 $        265,345
			
			
			 $        241,410 
			
			
			 $        209,402
			
			
			 $        187,456
			
			
			 $        198,429 
			
		


			UOL
			
			
			$          83,999
			
			
			 $          84,962
			
			
			 $          84,481 
			
			
			 $        116,714
			
			
			 $          96,669
			
			
			 $        106,692 
			
		


			Venture
			
			
			$          78,289
			
			
			 $          73,372
			
			
			 $          75,830 
			
			
			 $          72,871
			
			
			 $          68,773
			
			
			 $          70,822 
			
		


			Wilmar Intl
			
			
			$        570,212
			
			
			 $        735,958
			
			
			 $        653,085 
			
			
			 $        615,303
			
			
			 $        540,661
			
			
			 $        577,982 
			
		


			YZJ Shipbldg SGD
			
			
			$     1,979,441
			
			
			 $     1,946,763
			
			
			 $     1,963,102 
			
			
			 $     3,305,486
			
			
			 $     3,289,592
			
			
			 $     3,297,539 
			
		



Mapletree Pan Asia Commercial Trust (MCT SP)

DFI Retail Group Holdings

STI's Biggest Intraday Movers in 2020