流动性矩阵——欧洲碎片化的再平衡

© Oliver WymanEXECUTIVESUMMARY1Data sourced from BMLL (2025 Jan–May data). Stocks for a range of major European equity indices selected, intra-market fragmentation calculated as proportion of notional volumes traded outside of the main primary venue but onthe same ticker MIC. Cross-market fragmentation calculated as the proportion of a single stock traded on a differentticker MIC(dual-listed).Europe faces financing needs of at least €750–€800 billion per year, driven by majortransformations such as the green transition, artificial intelligence, and defence spending.Public sector and bank lending will not be able to meet all these demands — Europe willneed to turn to its capitalmarkets.Capital markets fuel the economy by facilitating capital raising and enabling effectiveprice formation. Strong secondary-market liquidity is critical to attract primary issuers,which in turn supports investment and growth. However, European secondary marketsare underdeveloped and fragmented. Relative to GDP, liquidity in US capital markets is4x greater than in Europe, measured by total traded notionalvolume.The main driver for Europe’s liquidity gap is low investment in capital markets, especiallyby retail investors. Households in the European Union hold only about 17% of wealth infinancial securities, compared to about 43% in the US. To close this gap, boosting investordemand is critical.Oliver Wymanhas outlined concrete, actionable solutions in its earlierreport, ‘The CapitalFlywheel.’For European capital markets to deliver, knitting together the fragmented supply-side isalso key. Over the past 20 years, Europe’s equity market rules have successfully fosteredinnovation and competition — particularly through MiFID I and II reforms — reducingtrading costs and increasing execution flexibility by encouraging new venues such asmultilateral trading facilities (MTFs) and systematic internalisers (SIs). But in doing so,liquidity has become fragmented, price discovery has weakened, and public markets havebecome less attractive for companies looking to raisecapital.The challenge now is to rebalance. Capital market supply-side reform comes with a trade-off between concentrating liquidity, spurring innovation, and fostering competition.Europe needs to revisit this delicate balance and pivot towards deeper liquidity, whilstcarefully weighing the impacts on innovation andcompetition.Fragmentation manifests in two ways: liquidity on a single stock can be split across venuesand execution channels (‘intra-market fragmentation’), and across borders (‘cross-marketfragmentation’). Intra-market is the most acute form of fragmentation. Trading on litprimary venues accounts for only about 30% of total liquidity. Close to 70% of volumes aresplit across MTFs, and dark, bilateral and non-addressable channels including SIs and over-the-counter (OTC). Cross-market fragmentation is marginal, at less than 2% of the total. 1 © Oliver WymanStakeholders across Europe need to act now. The fastest way to unlock more liquidity is byreducing intra-market fragmentation. This would allow Europe to better use its existingliquidity pool in the short term. To achieve this, harmonisation and level setting of regulationis required between exchanges and other execution venues and systems. Europe must alsosimplify other parts of market infrastructure, starting with settlement. This could involvethe full adoption of Target-2-Securities (T2S) by member states and central securitiesdepositories, or the deployment of new technologies such as distributed ledgertechnology.The impact of cross-market fragmentation is limited today. But to maximise the impact offuture pan-European demand, enhancing connectivity could also be considered to lowerobstacles for all investors to access all European securities — either by creating a commonconnectivity layer or by linking venues together. But these shifts would come with significantcosts for the industry and would take a long time, often requiring complex technologyintegration and a major upheaval of current regulatory and operationalframeworks. © Oliver WymanINTRODUCTIONUnder the Savings and Investments Union (SIU) strategy, the European Commission isconsidering new proposals to develop and integrate EU capital markets. The aim is toenhanceeconomic competitiveness and help attract capital to support the region’s ambitiousinvestment plans. Simplification of market infrastructure (issuance, trading, post-trade) is akey focusarea.This study byOliver Wyman, sponsored by the Federation of European Securities Exchanges(FESE), examines the issue of fragmentation in Europe’s equity markets. It compares thesituation to other global markets and assesses the options available to improve equitymarket performance. The report looks at the European Union, Switzerland, and the UnitedKingdom and provides comparisons with theUS.Section 1 sets the scene by outlining the role of capital markets in supporting Europe’sfuture ambitions. Section 2 defines