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Liquidity criteria Based on the Ljubljana Stock Exchange Instructions for Indices, Liquidity Criteria, Price List and other Statistical Data, the LJSE Management Board examines if the LJSE-listed securities meet the requisite liquidity criteria.
The last periodic review of liquidity criteria for listed shares encompassed the period from 1 March to 31 August 2012, and was carried out on 7 September 2012.
Classification of shares into continuous or auction trading effective from 1 October 2012.
Below you will find the new classification of shares into continuous and auction trading, based on the latest review of liquidity criteria.
Classification of shares ( PDF 77 kB)
Classification valid until 1 October 2012
Classification of shares ( PDF 78 kB)
Liquidity criteria for shares:
- Average daily number of transactions with securities of an individual class (excluding block trades) must equal or exceed 1.
- Average daily turnover with securities of an individual class (excluding block trades) must equal or exceed EUR 2,000.
- Total market liquidity, calculated according to CGT - the liquidity measure used by the LJSE - (transactions worth EUR 7,500) must equal or exceed 1,000.
The shares that meet the CGT criteria along with at least one other criterion given above are classified into continuous trading. Other shares are classified into auction trading.
Total market depth - CGT
CGT is a liquidity measure used by the LJSE, which measures the impact of a market order worth EUR 7,500 on the prices of securities. CGT value is measured and given in basis points (100 b. p. = 1 %).
CGT presents the sum of impacts on the bid and ask side. It stands for the investor's hidden costs in the purchase or sale of shares worth EUR 7,500 due to the changes in the market price. The value 1,000 tells us that once a market order worth EUR 7,500 enters the market, the security price changes by 10 percent.
The periodic CGT value represents an average of the daily CGT values. Market liquidity is measured twice a day, at 11.00 and at 12.55. The average periodic CGT value is calculated as the simple average of all measured CGT values. The periodic CGT value for a security is calculated if there is data available for at least 67 % of all possible calculations. CGT cannot be calculated if at the moment of the calculation there is no bid or ask in the trading system (and thus the market is not liquid). |
