Equity market data for the quarter ending September 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 September quarter data

In the September quarter 2013, the ASX accounted for approximately 86% of the total value traded in equity market products. Chi-X accounted for the remaining 14% share of total value traded. These figures include trades executed off order book and reported through either market operator.

Overall turnover in the equity market averaged $4.6 billion per day. The average trade size increased to $5,100 from $4,900 in the previous quarter. 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 quoted spreads for the whole equity market have continued to decline somewhat in recent times, and are now below 22 basis points. Both intraday and interday volatility declined over the September quarter.

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. In the September quarter 2013, the overall order-to-trade ratio was unchanged from the previous quarter at 7.5:1.

Following the introduction of meaningful price improvement and block tier threshold changes on 27 May 2013 there has been a fall in below block size dark liquidity from around 15% of total value traded to around 10% of total value traded. Turnover in block size dark liquidity has risen to an average of 17% of total value traded since the reduction in the block threshold for most securities.

Table 1 – Market characteristics – average for September 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

623,577

23,419

90,890

13,841

110,771

40,330

902,808

(market share)

(69.1%)

(2.6%)

(10.1%)

(1.5%)

(12.3%)

(4.5%)

(100.0%)

Value traded, $ million/day

2,489.1

559.4

205.8

727.4

294.9

329.5

4,606.1

(market share)

(54.0%)

(12.1%)

(4.5%)

(15.8%)

(6.4%)

(7.2%)

(100.0%)

Order-to-trade ratio

5.7

na

na

na

19.0

na

7.6

Average trade size ($/trade)

4,003

23,785

2,259

52,110

2,663

8,196

5,116

Table 2 – Measures of market concentration

Statistics

Sep 12

Jul 13

Aug 13

Sep 13

Total market Herfindahl index

0.52

0.51

0.44

0.41

Public venues Herfindahl index

0.88

0.77

0.75

0.73

Table 3 – Measures of market efficiency

Statistics

Sep 12

Jul 13

Aug 13

Sep 13

Quoted bid–ask spread, bps

– All stocks

24.2

22.0

21.9

21.2

– S&P/ASX 200 stocks

16.4

15.9

15.4

14.8

Effective bid–ask spread, bps

– All stocks

19.9

18.7

18.6

18.2

– S&P/ASX 200 stocks

13.5

13.7

13.3

12.9

Depth at best 5 price steps, bps

– All stocks

9.4

4.2

4.7

4.9

– S&P/ASX 200 stocks

7.7

3.1

3.4

3.6

Figure 1: Market share – September quarter 2013

Figure 1: Market share – September 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– September quarter 2013

Figure 6: Intraday trading profile– September 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 spread

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: 02/05/2013 12:00