11 July 2018
Half the STI Constituents Averaged 1.5%+ Daily Trading Ranges in 1H18
  • The non-weighted average 90 day volatility of the 30 STI constituents increased by a third over the first six months, rising to an annualised 22.5% at the end of June, up from 16.7% at the end of 2017.
  • As many as 15 STI stocks averaged daily trading ranges over 1.50% in the first six months of the year, ranging from UOL Group & Wilmar’s 1.52% to Yangzijiang Shipbuilding’s 3.24%. These 15 stocks averaged 21.4% intraday volatility over the six months.
  • The five STI stocks with the highest intraday volatility for the six months were YZJ Shipbuilding, HPH Trust, Genting Singapore, Venture & ComfortDelGro, averaging 27.5% intraday volatility. The STI stocks with the least intraday volatility were OCBC, SingTel, UOB, SGX and Hongkong Land.

At the end of June, the 90 day historical volatility of the Straits Times Index (“STI”) stood at 13.6% which was three-fifths higher than the end of 2017 level of 8.4%. Moreover the non-weighted average 90 day volatility of the entire 30 constituents stood at 22.5% at the end of June, up a third from 16.7% at the end of 2017.

 

As from historical volatility, daily trading ranges present the difference between the highest and lowest trading price in the course of a trading session. These ranges can be measured by multiple methods..

 

Intraday Volatility

 

The average annualised intraday volatility of the 30 STI stocks was 18.1% for the first six months of 2018.

 

The five STI stocks with the highest intraday volatility for the six months were Yangzijiang Shipbuilding, Hutchinson Port Holdings Trust, Genting Singapore, Venture Corporation and ComfortDelGro Corporation.

 

Intraday volatility represents the standard deviation of logarithmic midpoint price returns at one-minute intervals throughout the trading day, annualised and shown in percentage form. Median daily values are used to calculate the six month averages.

 

Daily Trading Ranges

 

The average daily amplitude or session trading range for the 30 STI stocks was 164.2 bps for the first six months of 2018.

 

The daily bps range or daily bps amplitude represents the median of the difference between the daily high and daily low price divided by the Value Weighted Average Price (‘VWAP’) of the stock. Again, median daily values are used to calculate the six month averages.

 

As many as 15 STI stocks averaged daily trading ranges over 150 bps or 1.50% in the first six months of the year, ranging from UOL Group & Wilmar International’s 1.52% to Yangzijiang Shipbuilding Holding’s 3.24%. These 15 stocks also averaged 21.4% intraday volatility over the six months.

 

The table below is sort by daily ranges or amplitudes in terms of bps for the six months.

 

STI Stocks

SGX Code

Market Cap (S$M)

1H18 Intraday 1-min Volatility

% (Annualised)

1H18 Average Daily Amplitude in bps 

1H18 Average Daily Amplitude in Ticks

1H18

VWAP 

S$

YZJ Shipbldg

BS6

5050

36.0

324

8

1.227

Golden Agri-Res

E5H

4463

21.2

279

2

0.345

Venture

V03

6780

22.8

261

63

22.745

Genting Sing

G13

14757

25.9

235

6

1.215

HPH Trust USD

NS8U

3973

31.1

226

2

0.431

ComfortDelGro

C52

4664

21.5

195

4

2.173

SPH

T39

4219

20.9

181

5

2.634

StarHub

CC3

4115

19.9

173

4

2.202

CapitaLand Com Trust

C61U

6496

19.3

172

6

1.78

Sembcorp Industries

U96

5561

19.4

171

5

3.16

City Developments

C09

11387

15.2

165

20

12.527

SATS

S58

5917

17.5

154

8

5.3

Jardine C&C

C07

14229

17.2

154

56

35.995

Wilmar Intl

F34

20112

17.5

152

5

3.174

UOL

U14

7217

15.8

152

13

8.56

Keppel Corp

BN4

14337

16.2

150

12

7.968

SIA

C6L

13105

14.1

148

16

11.098

Ascendas REIT

A17U

7818

16.1

145

4

2.665

CapitaLand Mall Trust

C38U

7313

15.3

145

3

2.057

ST Engineering

S63

10712

16.3

141

5

3.43

DBS

D05

71625

13.1

141

39

27.894

CapitaLand

C31

15231

15.7

136

5

3.606

OCBC Bank

O39

54072

12.3

133

17

12.874

UOB

U11

46905

12.6

132

38

27.913

JSH USD

J37

56198

18.1

125

64

50.751

ThaiBev

Y92

20916

17.9

125

2

0.841

SGX

S68

8086

12.6

119

9

7.59

SingTel

Z74

55642

12.5

111

4

3.404

JMH USD

J36

60258

14.8

91

77

82.668

Hongkong Land USD

H78

22119

12.8

89

8

9.415

Average

 

 

18.1

164.2

17.0

 

Source: SGX StockFacts, Bloomberg (Data as of 30 June 2018). Note Median daily values are used to calculate the six month averages.

 

The VWAP is calculated using total traded value traded for a stock divided by the total number of shares this stock traded. The amplitude in Ticks simply represents the difference between daily high and daily low price of the stock expressed in Ticks or minimum price moves.

 

Using the bps measure, investors can gauge past intraday risks and returns in terms of the initial outlay or investment required. For instance if a stock price is $10.00 and the stock trades on average, a 20 cent price range between the daily high and low, the average intraday range would be 200 bps (or 2.0%). 

 

Diversification’s Impact on Index Volatility

 

The STI is a highly competitive and diversified benchmark index. The 30 constituents have foundations spanning three centuries while maintaining significant local and regional economic exposures. Hence the weightings, in addition to the diversity of the Index can diffuse overall volatility impacts of segments and individual constituents.

 

This is exemplified by the 8.9 percentage point difference between the average 90 day volatility of the STI constituents and the volatility of the STI in its weighted index form.


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