Equity market data for quarter ending March 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).
Summary
Tables
Table 1 – Market characteristics – average for March quarter
Table 2 – Measures of market concentration
Table 3 – Measures of market efficiency
Graphs
Figure 1: Market share – March quarter 2014
Figure 2: Australia – Average daily turnover
Figure 3: Average trade size by execution venue
Figure 4: Dark liquidity proportion of total value traded
Figure 5: Order-to-trade ratio
Figure 6: Intraday trading profile
Figure 10: Effective bid–ask spreads
Figure 11: Quoted bid–ask spreads
Figure 12: Depth at five price steps as basis points of issued securities
Equity market data from other quarters
Summary of March quarter data
Over the March quarter 2014, the ASX accounted for 86% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 14% 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 $4.8 billion over the quarter. The average trade size remained unchanged at $5,300 from the previous quarter. The weighted average quoted bid–ask spread for securities in the ASX 200 index fell marginally to around 14 basis points of the midpoint price. The weighted average quoted bid–ask spread for all securities also dropped to just below 21 basis points of the midpoint price. Quarterly average intraday and interday volatility was lower in the March quarter.
The overall order-to-trade ratio declined to 8.1:1 in the quarter. Decreasing order activity on Chi-X contributed to a fall in its order-to-trade ratio, while ASX’s ratio remained the same.
Below block size dark liquidity represented 11% of total value traded in the March quarter, which remains unchanged compared to the previous quarter, and is still well below its share of the market a year prior (16%). Turnover in block size dark liquidity was just above 15% of total value traded, representing a decrease from the previous quarter (17%).
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 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 (market share) |
622,232 (68.4%) |
25,477 (2.8%) |
83,721 (9.2%) |
11,142 (1.2%) |
120,173 (13.2%) |
47,026 (5.2%) |
909,770 (100.0%) |
|
Value traded, $ million/day (market share) |
2,514.5 (52.3%) |
657.1 (13.7%) |
252.9 (5.3%) |
706.3 (14.7%) |
365.4 (7.6%) |
309.7 (6.4%) |
4,805.8 (100.0%) |
|
Order-to-trade ratio |
6.0 |
na |
na |
na |
19.2 |
na |
8.1 |
|
Average trade size, $/trade |
4,030 |
25,561 |
3,031 |
62,814 |
3,039 |
6,563 |
5,254 |
Table 2 – Measures of market concentration
|
Statistics |
March 2013 |
January 2014 |
February 2014 |
March 2014 |
|---|---|---|---|---|
|
Total market Herfindahl index |
0.43 |
0.48 |
0.44 |
0.43 |
|
Public venues Herfindahl index |
0.79 |
0.70 |
0.72 |
0.72 |
Table 3 – Measures of market efficiency
|
Statistics |
March 2013 |
January 2014 |
February 2014 |
March 2014 |
|---|---|---|---|---|
|
Quoted bid–ask spread, bps - All stocks - S&P/ASX 200 stocks |
22.0 15.2 |
22.1 14.1 |
19.9 13.8 |
20.7 14.6 |
|
Effective bid–ask spread, bps - All stocks - S&P/ASX 200 stocks |
18.8 12.8 |
20.1 12.7 |
18.1 12.3 |
18.8 13.1 |
|
Depth at best 5 price steps – all stocks, bps - All stocks - S&P/ASX 200 stocks |
10.3 8.3 |
6.8 4.0 |
7.6 5.4 |
7.7 4.2 |
Figure 1: Market share – March quarter 2014
Figure 2: Australia – Average daily turnover
Figure 3: Average trade size by execution venue
Figure 4: Dark liquidity proportion of total value traded
Figure 5: Order-to-trade ratio
Figure 6: Intraday trading profile – March quarter 2014
Figure 7: Intraday volatility
Figure 8: Interday volatility
Figure 9: Herfindahl index
Figure 10: Effective bid–ask spreads
Figure 11: Quoted bid–ask spreads
Figure 12: Depth at five price steps as basis points of issued securities
