The High Cost to Trade Canada

The cost to trade Canadian shares is 30% above the average level in January. In comparison, the cost to trade the median US stock is back at January’s average cost. By sector, Real Estate and Financials have seen the largest increases in the cost to trade. Consumer shares and Utilities also have markedly higher costs. Health Care has seen a 22% reduction.

Synopsis:

  • The spread in US names rose more than in Canada during March. By the end of August however, median spread was 16% above the January average, but over 40% higher in Canada.

  • Canadian volumes in the median stock ended August around 10% above the January level, while in the US they were down 5%.

  • The change in the supply of trading, measured by top-of-the-book liquidity, is higher in the US.

  • Overall, the Canadian cost to trade has risen because of higher volume, passing through lower liquidity, at a wider spread. In contrast, the US has lower volume and improved liquidity at a wider spread, which nets to an unchanged cost compared to the beginning of the year.

Written by Simon Maughan, Liquidnet Head of Trading Alpha

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