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Supporting Test Data: Comparing the Market Microstructure Between two South African Exchanges

dataset
posted on 05.11.2020, 06:08 by Ivan Jericevich, Patrick Chang, Aveshen Pillay, Tim Gebbie
Herewith attached, for the replication of results, are 5 days (2019-07-08 - 2019-07-12) of supporting test data for 10 JSE and A2X securities. The datasets provided directly by A2X comprise of messages from the market data feed while the JSE datasets comprise of trade and quote data obtained from Bloomberg Pro.

The 10 equities listed on the JSE that are considered are: Absa Group Ltd (ABG), Anglo American Plc (AGL), British American Tobacco Plc (BTI), FirstRand Limited (FSR), Nedbank Group Ltd (NED), Naspers Ltd (NPN), Standard Bank Group Ltd (SBK), Shoprite Holdings Ltd (SHP), Sanlam Limited (SLM), Sasol Ltd (SOL). The data for each security comes in the form of csv files with 5 columns: times, type, value, size, condcode.

The 10 equities listed on A2X that are considered are: Aspen Pharmacare (APN), African Rainbow Min Ltd (ARI), AVI Ltd (AVI), Coronation Fund Managers (CML), Growthpoint Prop Ltd (GRT), Mr Price Group Limited (MRP), Naspers Ltd (NPN), Standard Bank Group Ltd (SBK), Sanlam Limited (SLM), Santam Limited (SNT). The data comes in the form of zipped flat files separated by date which contain concactenated string messages corresponding to events in the continuous trading feed ordered in time with nanosecond precision.

This data should only be used to aid the reproducibility of the paper: Comparing the market microstructure between two South African exchanges. This paper explores an empircal comparisons of markets trading similar shares, in a similar regulatory and economic environment, but with vastly different liquidity, cost and business models. We compare the distributions and auto-correlations of returns on different time scales, we compare price impact and master curves, and we compare the cost of trading on each exchange. All implemetations are done using Julia Pro.

Julia script files and implementation instructions for reproducing our results can be found on our GitHub site:
https://github.com/CHNPAT005/PCIJAPTG-A2XvsJSE

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SASA

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Department of Statistical Sciences

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