Equity market data for the quarter ending December 2013

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 December quarter data

Over the December quarter 2013, the ASX accounted for 85% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 15% 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 $4.5 billion over the quarter. The average trade size rose from $5,100 to $5,300 through the December quarter. The weighted average quoted bid-ask spread for securities in the ASX 200 index remained constant at around 15 basis points of the midpoint price. The weighted average quoted spreads for all securities was also stable at just below 22 basis points of the midpoint price. Quarterly average intraday and interday volatility was slightly lower in the December quarter.

The overall order-to-trade ratio increased to 8.6:1 in the quarter. Order-to-trade ratios on both the ASX and Chi-X contributed to this rise.

Below block size dark liquidity represented 11% of total value traded in the December quarter, which is a slight increase compared to the previous quarter but still well below its share of the market a year prior (15%). Turnover in block size dark liquidity was below 17% of total value traded, a slight fall from the previous quarter.

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 December 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

557,568

23,576

84,802

11,051

118,891

45,412

841,300

(market share)

(66.3%)

(2.8%)

(10.1%)

(1.3%)

(14.1%)

(5.4%)

(100.0%)

Value traded, $ million/day

2,265.4

613.0

228.8

700.7

352.5

319.4

4,479.8

(market share)

(50.6%)

(13.7%)

(5.1%)

(15.6%)

(7.9%)

(7.1%)

(100.0%)

Order-to-trade ratio

6.0

na

na

na

21.3

na

8.6

Average trade size ($/trade)

4,065

25,938

2,701

64,429

2,965

7,210

5,328

Table 2 – Measures of market concentration

Statistics

Dec 12

Oct 13

Nov 13

Dec 13

Total market Herfindahl index

0.49

0.42

0.41

0.44

Public venues Herfindahl index

0.83

0.71

0.70

0.71

Table 3 – Measures of market efficiency

Statistics

Dec 12

Oct 13

Nov 13

Dec 13

Quoted bid–ask spread, bps

– All stocks

23.2

21.8

21.9

21.9

– S&P/ASX 200 stocks

16.5

14.7

15.4

16.0

Effective bid–ask spread, bps

– All stocks

19.6

19.4

19.6

19.5

– S&P/ASX 200 stocks

14.0

12.9

13.4

13.9

Depth at best 5 price steps, bps

– All stocks

11.0

5.7

6.0

4.9

– S&P/ASX 200 stocks

10.1

3.7

4.2

3.5

Figure 1: Market share – December quarter 2013

Figure 1: Market share - December quarter 2013

Figure 2: Australia – Average daily turnover

Figure 2: Australia - Average daily turnover

Figure 3: Average trade size by execution venue

Figure 3: Average trade size by execution venue

Figure 4: Dark liquidity proportion of total value traded

Figure 4: Dark liquidity proportion of total value traded

Figure 5: Order-to-trade ratio

Figure 5: Order-to-trade ratio

Figure 6: Intraday trading profile– December quarter 2013

Figure 6: Intraday trading profile– December quarter 2013

Figure 7: Intraday volatility

Figure 7: Intraday volatility

Figure 8: Interday volatility

Figure 8: Interday volatility

Figure 9: Herfindahl index

Figure 9: Herfindahl index

Figure 10: Effective bid–ask spreads

Figure 10: Effective bid–ask spreads

Figure 11: Quoted bid–ask spreads

Figure 11: Quoted bid–ask spreads

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

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

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Last updated: 02/05/2014 12:00