Equity market data for quarter ending June 2017

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

In the June 2017 quarter, the ASX accounted for 81% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 19% 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. On order book turnover (excluding ASX auctions) as a proportion of total dollar turnover declined to 64.8% in the June quarter, from 66.0% in the March quarter. This was driven by a fall in the proportion of ASX on order book turnover by 1.3 percentage points (ppts) to 47.2% over the quarter. Trade reporting turnover as a proportion of total dollar turnover increased by 0.5 ppts to 18.6% over the quarter, due to rises in both ASX and Chi-X trade reporting turnover.

Turnover in the Australian equity market rose to its highest level in at least seven years at a daily average of $6.4 billion in the June quarter. This compares to a daily average of $5.8 billion in the March quarter and $5.7 billion in the June 2016 quarter.

The overall order-to-trade ratio declined further to its lowest level since the March 2011 quarter at 6.4:1. Chi-X’s order-to-trade ratio decreased to an average 8.2:1 and ASX’s ratio was unchanged at an average 5.7:1 in the June quarter.

The quoted bid-ask spread is also at a historically low level. For securities in the S&P/ASX 200 index, the weighted average spread fell by 0.7 basis points (bps) to 13.4 bps of the midpoint price over the quarter. For all securities, the weighted average spread decreased by 4.1 bps to 20.1 bps of the midpoint price.

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	921,091	35,873	141,253	18,220	383,115	60,647	1,560,201
(market share)	59.0%	2.3%	9.1%	1.2%	24.6%	3.9%	100.0%
Value traded, $ million/day	3,007.8	1,057.1	447.2	672.5	671.4	512.8	6,368.7
(market share)	47.2%	16.6%	7.0%	10.6%	10.5%	8.1%	100.0%
Order-to-trade ratio	5.7	na	na	na	8.2	na	6.4
Average trade size ($/trade)	3,267	29,391	3,164	37,482	1,755	8,509	4,079

Table 2: Measures of market concentration   

Statistics	June 2016	April 2017	May 2017	June 2017
Total market Herfindahl index	0.47	0.44	0.41	0.42
Public venues Herfindahl index	0.68	0.64	0.63	0.65

Table 3: Measures of market efficiency

Statistics	June 2016	April 2017	May 2017	June 2017
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	23.9 14.4	21.9 13.9	19.4 13.1	19.0 13.1
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	19.2 10.7	17.7 10.4	16.2 10.4	15.4 10.1
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	6.0 2.3	8.8 3.5	7.4 3.6	7.2 3.4

Figure 1: Market share - June quarter 2017

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 2017

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