Volatility of Singapore stocks doubled in Q1 2020: SGX

SINGAPORE stocks saw their trailing 12-month volatility double over the first quarter this year, though they were among the least volatile in the region over the past year.

The FTSE Singapore Index maintained a 12-month volatility of 22 per cent as at end March, up from 10.7 per cent as at end December 2019, the Singapore Exchange (SGX) said on Wednesday.

Nonetheless, the FTSE Singapore Index's volatility was almost five percentage points less than the average volatility of 10 other country indices across the Asia-Pacific.

Constituents of the Straits Times Index (STI) that generated the biggest pick up in intra-day annualised volatility in Q1 2020 compared to H2 2019 included: CapitaLand Mall Trust, CapitaLand Commercial Trust, Genting Singapore, SATS, Ascendas Reit, Mapletree Logistics Trust, SGX, Thai Beverage, Wilmar International and ComfortDelGro.

The more extensive H2 2019 observations were used as a base in this case, as Q4 2019 ranges can be prone to more seasonal observations, SGX noted.

Over the past 12 months ending March 31, declines of the STI and the FTSE Singapore Index were closely in-line with the Asia Pacific region. This demonstrates Singapore's strong business ties to the region, bolstered by the revenue exposure of Singapore index stocks to the Asia-Pacific, SGX said.

The FTSE Singapore Index declined 21.5 per cent in US dollars (USD) over the one year period ending March 31, while the performances of major Asia-Pacific country indices varied from +1.5 per cent for the FTSE Taiwan Index to -35.8 per cent for the FTSE Indonesia Index.

By comparison, the STI with significant constituent overlap to the FTSE Singapore Index, declined 23.3 per cent in USD total return terms and 19.4 per cent in Singapore dollar total return terms.

Over the same period, Singapore also maintained the region's highest yields. At 6 per cent, the FTSE Singapore Index yield was significantly higher than the average 3.7 per cent yield for the of 10 other country indices across the Asia-Pacific, SGX noted.

That said, the Singapore bourse also noted that current yields are comparatively higher than their end-2019 levels only because of the recent price declines.

The FTSE Singapore Index posted a 12-month trailing yield of 6 per cent at the end of March, up from 4.5 per cent at the end of 2019. Likewise, the STI yield increased to 5.5 per cent at end March, from 4.2 per cent at the end of 2019, SGX said.