• 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.

This article was originally published on SGX.

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