Equity market data for the quarter ending June 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 June quarter data

In the June quarter 2013, the ASX accounted for around 88% of the total value traded in equity market products. Chi-X accounted for the remaining 12%. These figures include trades executed off order book and reported through either market operator.

Overall turnover averaged $5.2 billion traded per day. The average trade size was $4,900 – considerably lower than the levels seen in previous years. The average quoted bid-ask spread among the most liquid securities (those comprising the ASX 200 index) remained broadly unchanged over the past two years, at 15 basis points of the midpoint price. Average spreads for the whole equity market have declined somewhat in recent times.

The commencement of Chi-X in October 2011 saw an increase in the overall order-to-trade ratio to a peak of around 10:1 before the end of that year. This trend was reversed over 2012 and subsequently reached 7.5:1 in the June quarter 2013.

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

729,466

25,078

75,801

35,907

118,208

73,910

1,058,370

(market share)

(68.9%)

(2.4%)

(7.2%)

(3.4%)

(11.2%)

(7.0%)

(100.0%)

Value traded, $ million/day

2,948.0

645.8

181.2

813.9

307.7

313.5

5,210.0

(market share)

(56.6%)

(12.4%)

(3.5%)

(15.6%)

(5.9%)

(6.0%)

(100.0%)

Order-to-trade ratio

6.0

na

na

na

17.2

na

7.5

Average trade size ($/trade)

4,050

25,717

2,400

25,401

2,613

4,298

4,927

Table 2 – Measures of market concentration

Statistics

Jun 12

Apr 13

May 13

Jun 13

Total market Herfindahl index

0.55

0.47

0.47

0.52

Public venues Herfindahl index

0.89

0.79

0.78

0.78

Table 3 – Measures of market efficiency

Statistics

Jun 12

Apr 13

May 13

Jun 13

Quoted bid–ask spread, bps

– All stocks

24.5

21.6

20.7

21.3

– S&P/ASX 200 stocks

17.2

15.4

15.1

15.6

Effective bid–ask spread, bps

– All stocks

22.4

19.4

18.5

19.0

– S&P/ASX 200 stocks

15.8

13.9

13.5

13.9

Depth at best 5 price steps, bps

– All stocks

6.6

8.0

5.9

3.8

– S&P/ASX 200 stocks

4.4

6.9

5.0

3.1

Figure 1: Market share – June quarter 2013

Figure 1: Market share – June 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– June quarter 2013

Figure 6: Intraday trading profile– June 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: 31/01/2014 12:00