Equity market data for quarter ending December 2014

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

In the December quarter 2014, the ASX accounted for 82.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.5% 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. Chi-X trade reporting fell by 7% over the past quarter, while ASX trade reporting fell by just under 15% compared to the previous quarter.

Overall daily turnover in the equity market averaged $4.9 billion in the December quarter unchanged from the previous quarter. The weighted average quoted bid-ask spread for securities in the ASX200 index decreased marginally to 13.9 basis points of the midpoint price in the December quarter. Similarly, the weighted average quoted bid-ask spread for all securities decreased to 21.3 basis points of the midpoint price.

The Herfindahl index increased across the public order book and broker crossings during the quarter, showing a reduction in market fragmentation. Intraday and interday volatility trended higher in the quarter, peaking in December at the highest levels since June 2013.  The overall order-to-trade ratio decreased to 8.1:1 in the quarter as both the ASX and Chi-X reported lower ratios.

Below block size dark liquidity represented 12% of total value traded in the December quarter, unchanged from the previous quarter, and above its share of the market a year prior (11%). Turnover in block size dark liquidity was 15% of total value traded, unchanged from the previous quarter.

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
(market share)
606,550
(67.0%)
24,877
(2.7%)
67,763
(7.5%)
10,909
(1.2%)
142,567
(15.7%)
53,184
(5.9%)
905,851
(100.0%)
Value traded, $ million/day
(market share)
2,537.1
(52.1%)
721.0
(14.8%)
278.3
(5.7%)
479.0
(9.8%)
401.6
(8.2%)
451.6
(9.3%)
4,868.6
(100.0%)
Order-to-trade ratio
6.1
na
na
na
16.8
na
8.1
Average trade size, $/trade
4,183
29,097
4,133
50,373
2,807
8,672
5,380

Table 2 - Measures of market concentration

Statistics
December 2013
October 2014
November 2014
December 2014
Total market Herfindahl index
0.44
0.43
0.45
0.50
Public venues Herfindahl index
0.71
0.68
0.69
0.74

Table 3 - Measures of market efficiency

Statistics
December 2013
October 2014
November 2014
December 2014
Quoted bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
21.9
15.3
21.4
13.7
21.0
13.4
21.7
14.7
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
19.5
13.3
17.9
11.0
17.8
11.1
18.1
12.1
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
4.9
3.5
6.0
3.3
5.1
3.1
6.1
2.5

Figure 1: Market share - December quarter 2014

 Pie chart showing percentage of total market share measure by value traded

 

Figure 2: Australia - Average daily turnover

 Chart: Average daily turnover for Australia

 

Figure 3: Average trade size by execution venue

 Chart: Average trade size by execution

Figure 4: Dark liquidity proportion of total value traded

Chart: Dark liquidity proportion of total value traded

Figure 5: Order-to-trade ratio

Chart: Order-to-trade ratio

Figure 6: Intraday trading profile - December quarter 2014

Chart: Intraday trading profile - June quarter 2014

Figure 7: Intraday volatility

Chart: Intraday volatility - 1 minute all stock weighted against 1 minute ASX 200 weighted averages and 5 minute all stock weighted against 5 minute ASX 200 weighted averages

Figure 8: Interday volatility

Chart: Interday volatility - All stock weighted average against ASX 200 weighted average

Figure 9: Herfindahl index

Chart: Herfindahl index

Figure 10: Effective bid-ask spreads

Chart: Effective bid-ask spreads

Figure 11: Quoted bid-ask spreads

Chart: Quoted bid-ask spreads

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

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

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Last updated: 23/03/2016 03:05