Equity market data for the quarter ending March 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) about how to use this data.

Equity market data from other quarters

Table 1 – Market characteristics – average for March 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

580,659

23,789

79,703

44,846

87,978

67,967

884,943

(market share)

(67.5%)

(2.7%)

(7.8%)

(5.2%)

(9.5%)

(7.3%)

(100.0%)

Value traded, $ million/day

2,620.5

627.7

175.7

960.7

225.8

318.2

4,928.7

(market share)

(53.2%)

(12.7%)

(3.6%)

(19.5%)

(4.6%)

(6.5%)

(100.0%)

Order-to-trade ratio

5.6

na

na

na

14.9

na

6.8

Average trade size ($/trade)

4,507

26,194

2,214

21,299

2,565

4,793

5,552

Table 2 – Measures of market concentration

Statistics

Mar 12

Jan 13

Feb 13

Mar 13

Total market Herfindahl index

0.53

0.46

0.45

0.43

Public venues Herfindahl index

0.92

0.80

0.81

0.79

Table 3 – Measures of market efficiency

Statistics

Mar 12

Jan 13

Feb 13

Mar 13

Quoted bid–ask spread, bps

– All stocks

24.0

22.1

21.4

22.1

– S&P/ASX 200 stocks

15.8

15.2

15.1

15.2

Effective bid–ask spread, bps

– All stocks

22.4

20.1

19.5

20.1

– S&P/ASX 200 stocks

14.8

13.9

13.7

13.9

Depth at best 5 price steps – all stocks, bps

– all stocks

7.5

9.8

9.5

10.3

– S&P/ASX 200 stocks

5.0

8.6

8.1

8.2

Figure 1: Market share – March quarter 2013

Figure 1: Market share – March 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

Figure 6: Intraday trading profile


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: 30/07/2013 12:00