The exceptional response of European Equities to non-exceptional volatility
This study explores the remarkable resilience of European equity markets during periods of elevated volatility, driven by strong liquidity, efficient price discovery, and the leading role of primary exchanges in preserving orderly trading conditions.
Executive Summary
• VSTOXX® peaked at 34.8 points on 27 March 2026, high but well below the volatility levels seen during COVID-19, the Russia-Ukraine crisis or the April 2025 US tariff announcement. European markets absorbed the stress without structural disruption.
• March 2026 was Euronext's most active month on record for cash equities at €16.5 billion average daily value traded, and the second most active for all European equities in over a decade, proof that the infrastructure held up and investors trusted the primary exchange under pressure, with more flow going towards the lit continuous phase.
• Euronext’s record liquidity, tighter bid-ask spreads than those on MTFs, and leading price discovery demonstrate that European primary markets have the depth and quality to support corporate financing, even in conditions of elevated volatility.
• Since 2025, the average bid-ask spread for Lit MTFs has deteriorated, whilst remaining stable for Lit Primary Exchanges. In March 2026, the difference in bid-ask spreads between Lit MTFs and Euronext has widened further to 1.1 bps on CAC 40® stocks, 2.5 bps on FTSE MIB®, 1.4 bps on the AEX Index®.
• EBBO setting performance on Euronext increased to 72% (CAC 40), 75% (FTSE MIB), 69% (AEX), confirming Lit Primaries’ crucial role in price formation, even during heightened volatility.
• Sector insights: March 2026 saw a sharp rotation into Energy stocks (+8% in weight) and Insurance (+2%), with Banks rising to become the second most traded sector. Automobiles, Consumer Products and Healthcare declined. Retail flows mirrored the institutional shift.