Market Microstructure in South Africa

The structural integrity and efficiency of financial markets depend heavily on the mechanics of trade execution and the transparency of price formation. In the South African context, the financial landscape has transitioned from a centralized, exchange-centric model toward a more complex, fragmented environment characterized by the emergence of alternative trading venues and the sophisticated use of non-transparent execution protocols. This report analyzes these developments through the lens of market microstructure theory, with a particular focus on the work of Larry Harris and the unique institutional dynamics of the Johannesburg Stock Exchange and the South African bond market.

Theoretical Foundations of Market Microstructure and Dark Liquidity

To understand the role of dark pools and alternative trading systems (ATS), one must first establish the theoretical framework governing market participants and their interactions. Market microstructure, as defined by Larry Harris, is the study of the process and outcomes of exchanging assets under a specific set of rules.¹ These rules determine who can trade, what they can trade, and how information is disseminated throughout the ecosystem. Harris categorizes market participants into two primary groups: utilitarian traders and profit-motivated traders.² Utilitarian traders, such as pension funds or retail investors, trade to manage risk, move wealth across time, or obtain assets for personal use. Profit-motivated traders, including dealers, arbitrageurs, and speculators, seek to earn a return by providing liquidity or exploiting informational advantages.¹

Dark pools and ATS represent a significant departure from the traditional lit exchange model, which is predicated on pre-trade transparency. In a lit market, the central limit order book displays the prices and sizes of all pending orders, allowing participants to assess the current state of supply and demand. Dark pools, by contrast, are execution venues that do not display pre-trade quotations. Instead, they match orders internally, often using the midpoint of the best bid and offer from the primary exchange as a reference price.⁴ The theoretical justification for the existence of dark liquidity rests on the concept of implementation shortfall and the avoidance of information leakage.⁶

Institutional investors often need to execute large orders that represent a significant fraction of the average daily volume of a security. In a transparent market, the public display of such a large order signals a significant imbalance, leading other participants to adjust their prices in anticipation of the trade. This predatory behavior, or front-running, increases the cost of execution for the institutional investor. Dark pools provide a mechanism to hide these large "block" orders, allowing for execution with minimal market impact.⁵ Harris notes that while this benefits the utilitarian trader by reducing costs, it potentially harms the broader market by reducing the quality of the public price signal.¹

The interaction between lit and dark venues is also governed by the tick size, or the minimum pricing increment. Research suggests that tick size regulations can inadvertently benefit dark trading venues at the expense of traditional exchanges.⁴ For instance, a wider tick size on a lit exchange may encourage "queue-jumping" in dark pools, where participants can step ahead of displayed limit orders by offering a marginal price improvement at the midpoint of the spread.⁴ This relationship highlights a critical trade-off in market design: while dark pools offer protection for large orders, they can erode the incentives for participants to provide displayed liquidity on public exchanges.⁴

The South African Equity Market Structure: Context and Competition

The Johannesburg Stock Exchange remains the primary infrastructure provider for South African equities, a position it has held for over 130 years.⁹ The JSE operates a sophisticated electronic trading system that segments securities based on their liquidity profiles. This segmentation is critical for maintaining an orderly market, as it dictates the specific trading sessions and matching algorithms applied to different asset classes.¹¹

Segmentation and Trading Protocol

The JSE classifies equities into segments such as ZA01 for top-tier liquid companies, ZA02 for medium liquid stocks, and ZA03 for less liquid securities.¹¹ Each segment follows a structured trading day that begins with an opening auction, proceeds to continuous trading, and concludes with a closing auction.

Segment Code	Description	Products Included
ZA01	Top Companies	Highly liquid blue-chip equities.11
ZA02	Medium Liquid	Mid-cap stocks with moderate turnover.11
ZA03	Less Liquid	Small-cap and specialized listings.11
ZA04	Structured Products	Warrants and other equity derivatives.11
ZA06	Exchange Traded Products	ETFs and Actively Managed Certificates.11

The auction process at the JSE is a single-price call auction, where orders are accumulated over a period and then "uncrossed" at a price that maximizes the volume of shares traded.¹¹ This mechanism is particularly important for the closing price, which serves as a benchmark for fund valuations and index weightings. Outside of these auctions, continuous trading relies on a central limit order book where matching occurs based on price and then time priority.¹¹

The Emergence of Alternative Exchanges

The dominant position of the JSE has been challenged in recent years by the licensing of several alternative exchanges, including A2X Markets, the Cape Town Stock Exchange (CTSE), and ZAR X.¹⁰ A2X, which commenced operations in 2017, has emerged as the most significant competitor, focusing on secondary listings of JSE-listed companies.¹⁵

The value proposition of A2X rests on its lower transaction costs and faster execution speeds. A2X utilizes a T+0 settlement cycle in certain instances, compared to the JSE standard of T+3, and offers significantly lower brokerage and listing fees.¹⁰ By mid-2023, A2X had attracted 166 instruments with a total market capitalization exceeding R9 trillion, including many Top 40 index constituents.¹⁵ Despite this rapid growth in listed instruments, A2X's actual value traded remains a small fraction of the total market, estimated at approximately 2%.¹⁵

From a microstructure perspective, the fragmentation of the South African market introduces both opportunities and challenges. Competition drives innovation and has already led to estimated fee savings of over R50 million per year for market participants.¹⁶ However, fragmentation also necessitates significant technological investment. Domestic brokers must implement smart order routers (SOR) and high-speed data feeds to ensure they fulfill their fiduciary duties to clients across multiple venues.¹⁶ Unlike international brokers who can leverage global infrastructure, South African firms face higher relative costs for these upgrades given the smaller overall market size.¹⁶

Block Trading and Internalization in Equities

Block trading is an essential component of the South African liquidity landscape, providing a regulated "dark" channel for large transactions. The JSE defines block trades as transactions that exceed specified value thresholds, which are determined according to Average Daily Value (ADV) tiers.¹¹

ADV Tiers and Execution Criteria

The JSE implemented a system of ADV tiers in 2020, similar to the Large-in-Scale (LIS) criteria used in the European Union under MiFID II.⁶ These tiers serve as a regulatory gateway, allowing trades that meet the minimum size to be negotiated off the central order book and reported to the exchange with specific trade codes.¹⁷

ADV Tier	Minimum Size Threshold	Usage Trend (2020-2023)
Tier 1	R30 million	Declined from 22% to 10% of block value.17
Tiers 3-5	R7m - R15m	Increased from ~30% to over 50% of block value.17
Tiers 9-10	R1 million	Declined from 16% to 5% of block value.17

The data indicates that block trading activity is increasingly concentrated in the middle tiers, suggesting that participants are using blocks for "medium-large" orders rather than just the most extreme institutional transactions.¹⁷ Notably, block trades on the JSE are often executed away from the prevailing midpoint price. In 2023, only 2% of block trade value was executed at the exact midpoint, as execution prices are negotiated based on a variety of high-touch factors.¹⁷

Broker Internalization and the Internal Cross

Internalization is the process by which a broker matches a buy order and a sell order from its own clients without exposing them to the public order book. In South Africa, internalization is particularly prevalent in the block trading segment. Available data shows that on average, only 8% of the annual executed value in block trades is bilateral (between two different members), while 92% is internalized within a single member firm.¹⁷

Brokers are incentivized to internalize trades to maximize their fee capture and minimize clearing and settlement costs.¹⁷ When a trade is matched internally, it can avoid the marginal fees associated with the central securities depository (Strate) and the exchange’s clearing engine.¹⁸ Furthermore, the JSE allows for "Cross Orders" (XT) within the central order book, provided the price is within the visible best bid and offer.¹¹

The theoretical impact of internalization on market quality is a subject of intense debate. While it provides immediate execution for clients, it may also reduce the incentives for investors to place limit orders on the public exchange. If a broker consistently matches its most profitable or least informed flow internally, the public limit order book may be left with a higher concentration of "informed" or toxic flow, leading to wider spreads and reduced depth.¹³ Larry Harris's work suggests that this adverse selection risk is the primary reason why liquidity providers demand a premium in the form of the bid-ask spread.¹

The South African Bond Market: OTC Roots and the ETP Transition

The South African bond market is a critical pillar of the country’s financial system, providing the necessary capital for government infrastructure and corporate expansion. Historically, the secondary market for government bonds has been an over-the-counter (OTC) dealer-intermediated market.¹⁹ In this structure, liquidity is provided by a group of appointed Primary Dealers (PDs) who negotiate prices bilaterally with institutional investors via voice or electronic messaging.¹⁹

The Electronic Trading Platform (ETP) for Government Bonds

In a move to align with international standards and enhance transparency, the National Treasury and the JSE launched an Electronic Trading Platform (ETP) for government bonds in August 2018.²¹ The ETP, which uses technology from MTS (a part of the London Stock Exchange Group), creates a centralized, electronic venue for the core of the bond market—the volumes traded between Primary Dealers.¹⁹

The ETP operates under a specific set of rules and obligations for Primary Dealers:

• Two-Way Quoting: PDs are required to stream buy and sell quotes for benchmark bonds on the platform.¹⁹

• Anonymity: Quotes on the ETP are anonymous pre-trade. The identity of the counterparty is only revealed after the trade is matched and confirmed.¹⁹

• Price Discovery: The ETP provides live, transparent pricing, which helps to lower transaction costs and improve the accuracy of the government bond yield curve.²¹

Feature	JSE Reported Market (Traditional)	Bond ETP (Modern)
Trade Type	OTC Negotiated	Anonymous Electronic Matching.20
Transparency	Post-trade Reporting	Pre-trade Anonymous Quotes.19
Participants	All Market Members	Primarily Primary Dealers.19
Technology	High-touch Voice/Messaging	MTS Electronic Platform.21

The ETP is intended to function as the "lit" core of the bond market, while the broader reported market continues to handle the high-touch, large-scale trades that characterize the institutional bond landscape.²⁰ Since its launch, the ETP has grown to include nine major banks as liquidity providers, including Absa, Investec, and Standard Bank, alongside international firms like JP Morgan and Citibank.²¹

Bookbuilding as a Quasi-Dark Pool in DCM

In the Primary Market for corporate and government debt (Debt Capital Markets, or DCM), the bookbuilding process serves as a specialized form of dark liquidity. When a new bond is issued, the lead manager solicits indications of interest from potential investors to determine the final price and allocation.¹¹ This process is inherently opaque, as the contents of the "book" are not visible to the public during the bidding phase.

Recent regulatory developments have addressed the mechanics of how these trades are reported. In February 2025, the FSCA approved amendments to the JSE Equities Rules (specifically Rule 052/2025) to permit "Single-Member Bookbuild Trades".²⁴ Previously, the rules required two different members to be involved in a bookbuild trade report. The amendment recognizes that bookbuild managers often approach their own institutional clients directly, allowing for more efficient reporting of these internal allocations to the exchange.²³

This shift toward permitting single-member reports reflects a broader trend in global finance where large, integrated investment banks act as both the originator and the primary liquidity provider for their own client base. From a microstructure perspective, this increases the speed of reporting but also consolidates the power of the largest member firms, potentially leading to allocation opacity and information asymmetry for smaller participants.²⁶

Comparative Analysis: South Africa vs. Developed Markets

The South African market structure exhibits both remarkable similarities and stark differences when compared to developed markets like the United States and the European Union. These differences are rooted in the relative size of the economies, the regulatory philosophy of the authorities, and the historical dominance of the primary exchange.

Market Fragmentation and Dark Pool Prevalence

In the United States, market fragmentation is extreme. As of early 2021, nearly 47.2% of total equity trading volume was executed outside of public stock exchanges in various dark pools and ATS.⁸ This is driven by Regulation NMS, which encourages competition between venues but has also led to a complex landscape where smart order routing and high-frequency trading (HFT) are essential for finding liquidity.²⁸

By contrast, the South African market remains highly centralized. The JSE’s 98% market share is significantly higher than that of the NYSE or Nasdaq in their respective home markets.¹⁶ This centralization provides a deeper and more robust central order book, which Larry Harris argues is the most efficient form of price discovery for the average investor.¹ However, it also means that South African participants have fewer choices for execution and are more exposed to the fees and rules of a single operator.

Regulatory Approaches to Transparency

The European Union has adopted a highly prescriptive approach to dark trading through the Markets in Financial Instruments Directive (MiFID II). One of the most controversial elements of MiFID II is the Double Volume Cap (DVC), which limits the amount of trading that can occur in dark pools to a specific percentage of total volume.⁸ If a stock exceeds these caps, dark trading is suspended for a period to force volume back onto lit exchanges.

South Africa has not yet implemented volume caps on dark trading. Instead, it relies on the ADV tiers for block trades to ensure that only orders large enough to genuinely require protection are permitted to trade off-book.¹⁷ This approach is more flexible than the EU model but requires constant recalibration to ensure the tiers remain relevant as market volatility and volumes fluctuate.

Aspect	South Africa	United States	European Union
Fragmentation	Low (1 dominant exchange)	High (>50 venues)	Moderate (MTFs & Exchanges).8
Dark Trading %	~2-5% of value 15	~40-50% of volume.8	Regulated by Caps.8
Best Execution	Voluntary/Consulting	Regulated (Reg NMS)	Regulated (MiFID II).16
Settlement	T+3 (Standard)	T+1 (Recently adopted)	T+2 (Standard).10

Another point of divergence is "Best Execution." In the US and EU, best execution is a strict regulatory mandate that requires brokers to prove they obtained the best possible result for their clients, typically defined by price, cost, and speed.²⁹ South Africa is currently in the consultation phase for its own best execution framework, which is expected to be implemented within the next 18 months.¹⁶ The introduction of these rules will likely be a catalyst for further fragmentation, as brokers will be forced to look at alternative venues like A2X if they offer better prices or lower costs.¹⁶

Regulatory Oversight: The FSCA and Market Integrity

The Financial Sector Conduct Authority (FSCA) serves as the primary regulator for market conduct in South Africa, overseeing the behavior of participants and the operation of market infrastructures like the JSE and A2X.³⁰ Since 2017, South Africa has operated under the "Twin Peaks" model, where the FSCA focuses on conduct and consumer protection, while the Prudential Authority at the South African Reserve Bank (SARB) ensures the financial stability of institutions.³²

Twin Peaks and the Financial Markets Act (FMA)

The regulatory foundation for dark pools and ATS in South Africa is the Financial Markets Act (FMA) of 2012. The FMA provides the legal framework for the licensing of exchanges, clearing houses, and central securities depositories.¹² Under the FMA, any venue that brings together multiple buyers and sellers of securities must be licensed as an exchange, which is why alternative venues like A2X and CTSE are regulated similarly to the JSE.²⁰

The FSCA’s oversight of these venues is focused on several key risks:

• Market Access and Filters: The JSE and other exchanges are required to have robust controls to prevent "naked access," where clients trade directly on the exchange without broker risk filters.³³

• Conflict of Interest Management: Brokers who operate their own internal matching systems must ensure that they do not prioritize their own proprietary trades over those of their clients.³⁴

• Operational Resilience: Given the reliance on technology, firms must demonstrate high levels of cybersecurity and system uptime, particularly in light of South Africa’s infrastructure challenges like "load shedding".¹⁶

Information Leakage and Conduct Risk

A significant risk in any non-transparent trading environment is the potential for information leakage and insider trading. Studies in the South African market have identified instances where pre-disclosure information leakage regarding corporate actions or bond issuances has led to unusual trading activity.³⁵ For example, news of upcoming "green bond" issuances has been observed to leak on Bloomberg terminals before official public announcements, significantly altering the trading dynamics of the issuing firm’s equity.³⁶

The FSCA’s enforcement strategy involves both administrative penalties and proactive market surveillance. In the 2024/2025 period, the authority imposed 51 administrative penalties totaling nearly R120 million for various conduct violations.³¹ This aggressive stance is part of a broader effort to improve the country’s standing in the eyes of international standard-setters and to facilitate South Africa’s exit from the Financial Action Task Force (FATF) "grey list".³⁷

The Impact of Global Volatility and Spillovers

South African financial markets are deeply integrated into the global ecosystem, making them highly susceptible to volatility spillovers from developed markets, particularly the United States. Research using copula-based GARCH models has demonstrated a significant transmission of shocks from the S&P 500 to the top sector indices of the JSE during periods of crisis, such as the 2008 financial crisis and the COVID-19 pandemic.³⁹

Volatility Transmission and Market Microstructure

During the COVID-19 pandemic, South Africa and China were observed to be among the most volatile emerging markets.⁴⁰ The sharp decline in the S&P 500 in March 2020 triggered immediate reversals in JSE indices, underscoring the asymmetric dependence between these markets. Microstructure theory suggests that in times of extreme stress, liquidity can "dry up" as participants move toward safe-haven assets. This effect is often amplified in markets with high levels of automated or algorithmic trading, where stop-loss orders can trigger a cascade of selling.⁴¹

For dark pools, high volatility presents a paradox. While dark venues offer a refuge for institutional investors seeking to avoid market impact, they also rely on the lit market for their reference prices.⁷ If the lit market becomes illiquid or the spread widens excessively, the midpoint pricing mechanism in dark pools becomes less reliable, leading to a decrease in execution rates.⁷ In the South African bond market, the pandemic caused significant "jamming" in the secondary market, which was only alleviated by the intervention of the South African Reserve Bank.⁴³

Forward-Looking Perspectives: Electronic Bond Networks and Technology

The evolution of South African market infrastructure is poised to accelerate, driven by technological innovation and the continued refinement of regulatory standards.

The Future of Electronic Bond Trading

The success of the government bond ETP has laid the groundwork for further electronification of the fixed-income market. Future developments are likely to include:

• Expansion to Corporate Debt: While the ETP currently focuses on government bonds, there is a strong demand for a more transparent secondary market for corporate debt, which currently remains largely OTC.²⁰

• All-to-All Trading Models: The current ETP is dominated by Primary Dealers. The next phase of evolution may involve "all-to-all" networks where institutional buy-side firms can trade directly with each other on the platform.⁴⁴

• Integration of Repo Markets: Electronic platforms for repo (repurchase agreement) trading could significantly improve the efficiency of the South African money market, allowing for better collateral management and liquidity distribution.⁴⁵

The Role of Artificial Intelligence and DeFi

The financial sector is also grappling with the implications of Artificial Intelligence (AI) and Decentralized Finance (DeFi). The FSCA has noted that while DeFi is in its infancy in South Africa, it is expanding rapidly, with a projected market value of over $180 million by 2028.³⁷ DeFi offers a vision of "borderless" and "trustless" financial markets, where smart contracts on a blockchain replace traditional intermediaries like exchanges and clearing houses.³⁷

AI, meanwhile, is being adopted for both trading and regulation. Asset managers are using generative AI for research and idea generation, while regulators are exploring "SupTech" (Supervisory Technology) to automate the detection of market manipulation and insider trading.⁴² However, the use of AI in fully automated trade execution remains limited, as market participants remain cautious about the potential for algorithmic malfunctions to trigger systemic shocks.²⁸

Strategic Implications for South Africa

As South Africa moves toward a more fragmented and technologically advanced market structure, several strategic imperatives emerge:

1. Balancing Innovation and Stability: Policymakers must ensure that the benefits of competition and new technology do not come at the expense of market stability or the integrity of the price formation process.⁴⁶

2. Enhancing Regional Integration: South Africa often serves as a gateway to the broader African continent. Aligning its infrastructure and regulations with international standards can help attract more foreign capital to the region.⁹

3. Improving Retail Access: While many of the developments in dark pools and ATS are geared toward institutional investors, improving the transparency and efficiency of the lit market remains essential for protecting retail participants and promoting financial inclusion.³²

The transformation of the South African financial market infrastructure is a testament to the country's resilience and its commitment to international standards. By carefully managing the transition toward electronic trading and alternative execution venues, South Africa can continue to offer a sophisticated and efficient environment for both domestic and global investors. The work of Larry Harris provides a timeless reminder that while the "pipes and sewers" of the financial industry may change, the fundamental human motivations of risk management and profit-seeking remain the constant drivers of market behavior.¹

Summary of Execution Costs and Market Dynamics

The table below provides a concise comparison of the execution environments for different South African market segments, reflecting the current state of liquidity and transaction costs.

Market Segment	Primary Execution Venue	Pricing Transparency	Transaction Costs	Typical Participants
ZA01 Equities	JSE Central Order Book	High (Pre-trade Lit)	Moderate (STT + Brokerage)	Retail & Institutional.11
Block Equity	JSE Off-book Reporting	Low (Post-trade only)	Low (Negotiated/Internal)	Large Institutional.17
Govt Bonds (ETP)	JSE Bond ETP (MTS)	High (PD Quotes)	Low (Fixed Fee/Million)	Primary Dealers & Banks.48
Govt Bonds (OTC)	Voice/Bilateral	Low (Quasi-dark)	Moderate (Dealer Spread)	PDs & Asset Managers.20
Corporate Debt	Bookbuilding/OTC	Low (Opaque)	High (Underwriting/Spread)	Issuers & Institutions.23

The interaction between these segments defines the overall liquidity of the South African market. As the JSE continues to modernise its systems and the FSCA implements new conduct standards, the boundaries between lit and dark liquidity will likely continue to shift, requiring market participants to remain agile in their execution strategies. The ultimate goal of these structural changes is to create a more robust, transparent, and innovative business environment that supports sustainable economic growth for the country.⁹

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