Equity market data for quarter ending June 2014

For an explanation of the measures used in this release, see Information Sheet 177 Quarterly cash equity market data: Methodology and definitions (INFO 177).

Equity market data from other quarters

 

Summary of June quarter data

Over the June quarter 2014, the ASX accounted for 83.7% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.3% of total dollar turnover. These figures include all trades executed on order book, as well as trades matched off order book and reported to either market operator.

Overall daily turnover in the equity market averaged $4.6 billion over the quarter. The average trade size remained at $5,300. The weighted average quoted bid-ask spread for securities in the ASX200 index increased marginally to 14.5 basis points of the midpoint price. The weighted average quoted bid-ask spread for all securities remained around 21.0 basis points of the midpoint price. Quarterly average intraday and interday volatility was lower in the quarter.

The overall order-to-trade ratio declined to 7.7:1 in the quarter. Decreasing order activity on Chi-X contributed to a fall in its order-to-trade ratio, while ASX's ratio was down slightly as the number of orders fell more than trades.

Below block size dark liquidity represented 12% of total value traded in the June quarter, up slightly from the previous quarter, and slightly below its share of the market a year prior (13%). Turnover in block size dark liquidity was just below 16% of total value traded, slightly up from the previous quarter (15%).

Note: ASIC's market surveillance system was replaced in the second half of 2013. From 1 October 2013, equity market data is obtained from the new surveillance system utilising the existing methodology. Some minor discrepancies exist between the two surveillance systems but these are not significant when examining aggregate market data.

Table 1 - Market characteristics - average for June quarter

 

Statistics	ASX on-order book	ASX auctions	ASX Centre Point	ASX trade reporting	Chi-X on-order book	Chi-X trade reporting	Total
Number of trades per day (market share)	564,839 (65.3%)	29,905 (3.1%)	80,894 (9.3%)	8,770 (1.0%)	129,894 (15.0%)	54,094 (6.3%)	865,395 (100.0%)
Value traded, $ million/day (market share)	2,307.1 (50.2%)	672.7 (14.6%)	285.2 (6.2%)	583.6 (12.7%)	367.0 (8.0%)	380.2 (8.3%)	4,595.8 (100.0%)
Order-to-trade ratio	5.8	na	na	na	16.2	na	7.7
Average trade size, $/trade	4,087	24,892	3,528	66,555	2,825	6,984	5,306

 

Table 2 - Measures of market concentration

 

Statistics	June 2013	April 2014	May 2014	June 2014
Total market Herfindahl index	0.52	0.45	0.45	0.41
Public venues Herfindahl index	0.78	0.68	0.68	0.71

 

Table 3 - Measures of market efficiency

 

Statistics	June 2013	April 2014	May 2014	June 2014
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	21.3 15.6	20.9 14.5	21.4 14.9	21.1 14.1
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	18.4 13.7	18.0 12.3	18.6 12.7	19.0 11.8
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	3.8 3.1	8.5 5.7	9.8 9.1	8.7 8.5

 

Figure 1: Market share - June quarter 2014

 

Figure 2: Australia - Average daily turnover

 

Figure 3: Average trade size by execution venue

Figure 4: Dark liquidity proportion of total value traded

Figure 5: Order-to-trade ratio

Figure 6: Intraday trading profile - June quarter 2014

Figure 7: Intraday volatility

Figure 8: Interday volatility

Figure 9: Herfindahl index

Figure 10: Effective bid-ask spreads

Figure 11: Quoted bid-ask spreads

Figure 12: Depth at five price steps as basis points of issued securities