Equity market data for quarter ending December 2015

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 2015, 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. On-order book turnover (excluding ASX auctions) as a proportion of total dollar turnover fell to 67.3% in the December quarter, compared to 69.9% in the September quarter. Conversely, trade reporting turnover as a proportion of total dollar turnover increased by 2.0 percentage points (ppts) to 17.9% over the quarter.

Overall daily turnover in the equity market averaged $5.3 billion in the December quarter, a fall from $5.7 billion in the September quarter, and an increase from $4.9 billion in the December quarter 2014. The weighted average quoted bid-ask spread for securities in the ASX 200 index rose by 0.5 basis points (bps) to 14.5 bps of the midpoint price in the quarter and rose by 2.9 bps to 23.2 bps of the midpoint price for all securities.

Intraday volatility and interday volatility eased from the peaks seen in August 2015, although they remain at elevated levels. The weighted average interday volatility for the S&P/ASX 200 index was 1.8% in the quarter, down from 2.0% in the previous quarter. The overall order-to-trade ratio decreased slightly to 8.2:1 in the quarter driven by a decrease on Chi-X that was partially offset by an increase on the ASX.

Below block size dark liquidity represented 11.1% of total value traded in the December quarter, up 0.6 ppts from the previous quarter, and lower than its share a year prior (11.6%). Turnover in block size dark liquidity was 14.1% of total value traded, up 2.0 ppts 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)	722,883 (67.0%)	28,022 (2.6%)	74,242 (6.9%)	12,465 (1.2%)	192,967 (17.9%)	48,885 (4.5%)	1,079,461 (100.0%)
Value traded, $ million/day (market share)	2,806.4 (53.0%)	786.4 (14.8%)	286.6 (5.1%)	510.4 (9.6%)	489.6 (9.2%)	436.4 (8.2%)	5,297.8 (100.0%)
Order-to-trade ratio	6.7	na	na	na	13.9	na	8.2
Average trade size, $/trade	3,892	28,011	3,626	41,263	2,538	9,110	4,914

Table 2 - Measures of market concentration

Statistics	Dec 14	Oct 2015	Nov 2015	Dec 2015
Total market Herfindahl index	0.50	0.46	0.43	0.49
Public venues Herfindahl index	0.74	0.69	0.69	0.71

Table 3 - Measures of market efficiency

Statistics	Dec14	Oct 15	Nov 15	Dec 15
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	21.7 14.7	22.1 14.2	23.1 14.3	24.3 15.1
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	18.1 12.1	18.6 11.6	18.8 11.4	20.3 12.5
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	6.1 2.5	10.7 2.6	6.9 2.7	6.0 3.2

Figure 1: Market share - December quarter 2015

 

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 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