Lyxor Japan ETF (SGX) trading characteristics

Lyxor AM (Singapore) listed Lyxor ETF Japan (TOPIX) in Singapore Exchange (SGX) on 30 August 2007. Finally an indexing solution for Singapore investors. The Japan ETF tracks the TOPIX index, which is composed by more than 1600 larger company stocks listed on the Tokyo Stock Exchange. The index is weighted by market capitalization.

To understand the trading characteristics of this ETF, such as bid/ask spread, premium/discount spread and volume, I recorded their price, volume and NAV over 20 trading days days in September 2007. Below is the result from the observation period.

Lyxor ETF Japan (TOPIX) (JPN)

JPN Trading Information Table (click to enlarge)

JPN trading info

JPN Premium/Discount Chart (click to enlarge)

JPN premium/discount chart

Bid/ask spread

  • 1 cent or 0.75% most of the time

Average volume

  • about 17,253 shares

Premium/discount

  • # of Days between -0.25% & +0.25% = 5
  • % of Days between -0.25% & +0.25% = 25%
  • # of Days between -0.5% & +0.5% = 6
  • % of Days between -0.5% & +0.5% = 30%

From the above trading characteristics, this ETF has a dispersed premium/discount but consistent bid/ask spread. The volume is OK.

Another characteristic that I have observed is the market maker usually puts a 50000-share buy order and a 50000-share sell order with one cent spread. The current indicative NAV, which is available from the ETF website, is sometimes the market maker’s buy price; sometimes it is the market maker’s sell price.

Note: When calculating premium/discount and the closing price is zero, the mid point between bid price and ask price is used as the closing price.

I plan to use this ETF to represent my Japan equity allocation in my portfolio.

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