Comparing the market microstructure between two South African exchanges

Authors

Ivan Jericevich
Patrick Chang
Aveshen Pillay
Tim Gebbie

Description

This repository details the implementation of an exploratory data analysis of the South African market microstructure. Specifically, it considers shared listings on two South African equity exchanges: the Johannesburg Stock Exchange and the A2X exchange. The related 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.

A2X		JSE
Security name	Security code	Security name	Security code
Aspen Pharmacare	APN	Absa Group Ltd	ABG
African Rainbow Min Ltd	ARI	Anglo American Plc	AGL
AVI Ltd	AVI	British American Tobacco Plc	BTI
Coronation Fund Managers	CML	FirstRand Limited	FSR
Growthpoint Prop Ltd	GRT	Nedbank Group Ltd	NED
Mr Price Group Limited	MRP	Naspers Ltd	NPN
Naspers Ltd	NPN	Standard Bank Group Ltd	SBK
Standard Bank Group Ltd	SBK	Shoprite Holdings Ltd	SHP
Sanlam Limited	SLM	Sanlam Limited	SLM
Santam Limited	SNT	Sasol Ltd	SOL

Prerequisites

Julia programming langauge
A text editor or IDE such as Atom, VS Code or Jupyter
The test data to be used for the replication of results and algorithm validation can be found at ZivaHub

Usage

Clone the repository

git clone https://github.com/CHNPAT005/PCIJAPTG-A2XvsJSE.git

and set the working directory in all .jl files.

cd("C:/Users/.../PCIJAPTG-A2XvsJSE")

Packages can be installed using

Pkg.add("...")

The datasets used for the paper is for the period between 2019-01-02 to 2019-07-15. The data is proprietary and is not included here. For the purpose of algorithm verification we include the last week of data from both exchanges (2019-07-8 - 2019-07-12). The data for this can be downloaded here. There should be 5 A2X files and 10 JSE files. These should be placed in Test Data/A2X/Raw/ and Test Data/JSE/Raw/ respectively. The Computed data folder is in place to hold computed results (.jld files) that apply to both exchanges. All other data specific to each exchange will be saved to the Test Data folder (upon implementation). All figures contained within the Figures folder correspond to those in the paper and were obtained from the implementation on the full data sets. Data cleaning scripts should be run first before any of the Julia files in the Scripts folder can be run.