The Closing Prices Handbook: The Definitive Guide to Closing Prices Definition

EXCHANGE DATA’S

CLOSING PRICES

HANDBOOK

Chancellor Publications Limited

Churchill House, 5th Floor

142-146 Old Street

London EC1V 9BW

Telephone: 0207 269 9150

Fax: 0207 269 9151

© 2011 Chancellor Publications Ltd

First Edition 2011

All rights reserved. No part of the narrative of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without the prior permission of Chancellor Publications Limited, except by a reviewer who may quote brief passages in a review.

ISBN 978-0-9569986-0-6

While every effort has been made to ensure the accuracy of the information contained in this guide, readers should note that it contains only general statements and is not intended to coveral possible situations which may arise. Accordingly, the publisher does not accept any liability for acts undertaken in reliance on the contents of this guide.

Acknowledgements

We would like to thank all the international stock exchanges that have helped with the compilation and verification of the information in the Handbook and Trayport Limited, Berno Saudi Fransi Finance S.A. (Syria) and Madison Asset Management Company Limited (Zambia) for their assistance in the absence of responses from three exchanges.

Introduction

Consult any financial dictionary, online or otherwise and you will find a definition for the closing price. One of the most common is the price of the last transaction for a security in a trading session or words to this effect. Others simply use the phrase the final price for a security on a given trading day. Unfortunately none of these definitions are accurate. The closing price can be a myriad of things, ranging from simply the last transaction for a security for the day to a price derived from a complicated calculation or process. The closing price can also vary within a market where one rule applies to one trading segment and another rule applies to another segment.

Exchange Data’s Closing Prices Handbook unravels the mystery of closing prices by providing detailed definitions of the closing and other key prices disseminated by the global equity exchanges, exchange by exchange. It provides details of the hierarchy of alternative closing prices disseminated in the event that a security does not trade on the day. In addition, it examines the exchanges and trading systems where the high-low range for the day does not include the open and close and provides a useful guide to the price fluctuations allowed during the trading day.

General Notes

Reference Price

Also known as the base or starting price, this is the starting point for the day’s trading in today’s automated trading systems. It is also the price from which parameters such as dynamic and static volatility interruption ranges are set in the trading system. Under normal circumstances, the reference price for a security is the last known closing price, adjusted for a corporate action where applicable. If this price is not available e.g. after a long period of suspension, a merger/reconstruction of the Issuer or a new issue trading for the first time, a reference price is usually determined by the exchange. Exchanges can also set reference prices as a result of other relevant information like a takeover bid price, the price on another market or the price of related security.

Auctions

Auction prices are determined using a number of conditional rules or criteria. The number of criteria can vary, but the most common number is four. These, in order of application, are as follows –

Maximum Execution

The auction price is determined on the basis of the order book position at the end of the pre-opening phase. The auction price is the price with the highest executable volume.

Minimum Surplus

In the event that there is more than one price with the highest executable volume, the lowest surplus for each of the prices with the highest executable volume is taken into account the auction price will be the price with the highest executable volume and the lowest surplus.

Surplus Side

In the event that there is more than one price with the highest executable volume and the lowest surplus the side of the surplus is taken into consideration, and the auction price will be the highest price if the balance is higher on the buy side (buying surplus), or the lowest price if the balance is higher on the sell side (selling surplus).

Reference Price

If the inclusion of the surplus side does not lead to a single auction price, the reference price is included as an additional criterion. At this point systems do vary. For some, the auction price will be the one closest to the reference price rounded up or down in accordance with the tick-size principle set in the system. For others, the auction price will simply be set as the reference price.

ALGERIA

Algiers Stock Exchange

Electronic Auction Trading

Overview

Established in 1999, the Algiers Stock Exchange¹ is the only stock exchange in Algeria. The Bourse offers trading in shares and bonds through electronic auction trading.

The local currency is the Algerian Dinar (ISO Code DZD). All prices with the exception of those for bonds are quoted in Dinars. Bonds are quoted in percentage of nominal value.

Market Segments

There are no specific market segments.

Closing Price

The auction process generates a single price for all transactions for each security during a given trading session. This price maximises the executable volume, given the composition of orders at the opening of the trading session. If the maximum volume is achieved at several prices, the price is that which minimises the volume imbalance between buy orders and sell orders. If there are multiple prices where the maximum volume is achieved and the imbalance between the volume of buy orders and sell orders is minimised, the price is the one closest to the last known closing price.

Price Fluctuations

The maximum daily fluctuation for shares is +/- 5% of the reference price and for bonds +/- 1% of the reference price.

Volume and Turnover

Volumes are reported in units. Turnover figures are reported in DZD.

1 MIC Code XALG [return to text]

ARGENTINA

Buenos Aires Stock Exchange

Sistema Integrado de Negociación Asistida por Computadora (SINAC) Overview

Established in 1929, the Bolsa de Comercio de Buenos Aires (BCBA) or Buenos Aires Stock Exchange¹ is the main stock market in Argentina. Both equities and fixed income instruments trade on the exchange, although the majority of the fixed income instruments trade in the over-the-counter (OTC) market.

Transactions are executed through two trading systems – the Mercado de Concurrencia (Concurrent Market) and the Rueda Continua (Continuous Trading System).

In the Mercado de Concurrencia, there are two trading methods – automatic trade execution through the electronic Sistema Integrado de Negociación Asistida por Computadora (SINAC), trading system and open outcry execution commonly referred to as floor trades. All securities can be traded in the Concurrent Market. In addition corporate and government bonds can also be traded using the Continuous Trading System.

The local currency is the Argentinian Peso (ISO Code ARS). All prices with the exception of those for bonds are quoted in Pesos. Bonds are quoted in percentage of nominal value.

Market Segments

The equity market is divided into the Leaders Board (Acciones Lideres), General Board (Panel General) and the Small and Medium Size Companies Board (Panel Pyme).

Opening Price

The opening price is the first traded price.

Closing Price

The closing price is the last traded price. In the event that a security does not trade during the session the closing price is the last known closing price.

High/Low Range

The daily high and low range for the day includes all prices for the relevant settlement period.

Price Fluctuations

The maximum daily price fluctuation is +/- 10% or +/- 15% extendable by 5% in certain trading conditions.

Volume and Turnover

Volumes are reported in units. Turnover figures are reported in ARS.

1 MIC Code XBUE [return to text]

AUSTRALIA

Australian Securities Exchange (ASX)

ASX Trade

Overview

The Australian Securities Exchange (ASX)¹ was established following the merger of the Australian Stock Exchange and the Sydney Futures Exchange in 2006. The ASX operates Australia's primary national stock exchange for securities issued by listed companies. Listed securities include equities, derivatives, options & warrants, investment trusts, company options and fixed interest securities. In October 2010 the ASX and the Singapore Exchange (SGX) announced their intention to merge to form the largest Asia/Pacific exchange.

ASX operates two trading, clearing and settlement platforms, one for equity and related equity derivative products, ASX Trade and one for a suite of interest rate, equity index and commodity futures (and options on futures) products as well as Contracts For Difference (CFD), ASX Trade 24. ASX Trade is based on Nasdaq OMX's Genium INET trading system used by many other global exchanges.

The local currency is the Australian Dollar (ISO Code AUD). All prices with the exception of those for bonds are quoted in Dollars. Bonds are quoted in percentage of nominal value.

Market Segments

There are no specific market segments although equities are divided into five groups according to the starting letter of their ASX code for the purposes of generating the opening price.

Opening Price

Opening prices are established using the single price auction method. Securities open in five groups, according to the starting letter of their ASX code between 10:00 and approximately 10:10 local time.

Closing Price

The closing price is determined in a single price auction at the end of the main trading session.

In the event that a security does not trade during session, the closing price is the last known closing price.

Price Fluctuations

In January 2011, the ASX and the ASIC launched a consultation paper looking into the viability of introducing single stock circuit breakers and up/down price limits. No final decision has been made.

High/Low Range

The daily high/low range includes the opening and closing prices.

Volume and Turnover

Volumes are reported in units. Turnover figures are reported in AUD.

1 MIC Code XASX [return to text]

AUSTRALIA

National Stock Exchange Australia

NSX Electronic Trading System (NETS)

Overview

Originally founded in 1937 as the Newcastle Stock Exchange, the National Stock Exchange of Australia (NSX)¹ took on its current name at the end of 2006. The NSX offers trading in equities and debentures of small to medium-sized enterprises (SMEs) and high technology companies, funds and options through its electronic NSX Electronic Trading System (NETS) which is based on the Nasdaq OMX X-Stream trading platform.

The local currency is the Australian Dollar (ISO Code AUD). All prices with the exception of those for bonds are quoted in Dollars. Bonds are quoted in percentage of nominal value.

Market Segments

There are no specific market segments.

Opening Price

The opening price is the first traded price of the day. If there have been no trades then the opening price is the previous last traded price.

Closing Price

The closing price is the last traded price for the day. If there have been no trades for the day then the closing price is last known closing price. If a security has never traded then the closing price is the IPO price.

High/Low Range

The daily high/low range includes the opening and closing prices.

Price Fluctuations

In January 2011, the ASX and the ASIC launched a consultation paper looking into the viability of introducing single stock circuit breakers and up/down price limits within the Australian markets. No final decision has been made.

Volume and Turnover

Volumes are reported in units. Turnover figures are reported in AUD.

1 MIC Code XNEC [return to text]

AUSTRIA

Vienna Stock Exchange

Xetra

Overview

Established in 1771, the Vienna Stock Exchange (VSE)¹ is the only stock exchange in Austria.

The VSE offers trading in equities, bonds, treasury notes, funds, certificates, subscription rights and warrants through Deutsche Boerse AG's electronic trading system Xetra. The Xetra market model used by the VSE supports three trading methods – continuous trading with an opening, intraday and closing auction; continuous trading with an opening and closing auction; and a single auction per trading day.

The VSE also operates a derivatives market, the Österreichische Termin und Optionen Boerse (OTOB), and a separate segment for structured products in addition to the traditional cash market segments.

The local currency is the Euro (ISO Code EUR). All instruments with the exception of bonds are quoted in Euros. Bonds are quoted in percentage of nominal value.

Market Segments

The equity market is sub-divided into the Prime, Mid and Standard Market segments. Other markets are sub-divided by asset class or trading method. The market segmentation does not take into account whether financial instruments are admitted to listing on a regulated market (the Official or Second Regulated Market) or to a Multilateral Trading System (the Third Market).

Opening Price

For continuously traded securities, the opening price is the opening auction price. For shares traded using the single price auction method, there is only one price fixing per session Closing Price

For continuously traded securities,