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We consider shared listings on two South African equity exchanges: theJohannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternativeexchange that provides for both shared listings and new listings within thefinancial market ecosystem of South Africa. From a science perspective itprovides the opportunity to compare markets trading similar shares, in asimilar regulatory and economic environment, but with vastly differentliquidity, costs and business models. A2X currently has competitive settlementand transaction pricing when compared to the JSE, but the JSE has deeperliquidity. In pursuit of an empirical understanding of how these differencesrelate to their respective price response dynamics, we compare thedistributions and auto-correlations of returns on different time scales; wecompare price impact and master curves; and we compare the cost of trading oneach exchange. This allows us to empirically compare the two markets. We findthat various stylised facts become similar as the measurement or sampling timescale increase. However, the same securities can have vastly different priceresponses irrespective of time scales. This is not surprising given thedifferent liquidity and order-book resilience. Here we demonstrate that directcosts dominate the cost of trading, and the importance of competitivelypositioning cost ceilings. Universality is crucial for being able tomeaningfully compare cross-exchange price responses, but in the case of A2X, ithas yet to emerge in a meaningful way due to the infancy of the exchange --making meaningful comparisons difficult.

Comparing the market microstructure between two South African exchanges