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).

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

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

Figure 2: Australia – Average daily turnover

Chart: Australia Average daily turnover

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 – March quarter 2014

Chart: Intraday trading profile - March 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: 15/01/2014 12:00