Equity market data for quarter ending June 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 June quarter data 

In the June quarter 2015, the ASX accounted for 82.0% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 18.0% 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 as a proportion of total dollar turnover rose to 62.4% in the June quarter, compared to 60.2% in the March quarter. Conversely, trade reporting turnover as a proportion of total dollar turnover fell by 2.3 percentage points to 17.6% over the quarter.

Overall daily turnover in the equity market averaged $5.8 billion in the June quarter, an increase from $5.5 billion in the March quarter and $4.6 billion in the June quarter 2014. The weighted average quoted bid-ask spread for securities in the ASX 200 index fell slightly to 13.3 basis points of the midpoint price in the quarter. The weighted average quoted bid-ask spread for all securities decreased slightly to 20.3 basis points of the midpoint price.

Below block size dark liquidity represented 12.0% of total value traded in the June quarter, up 0.4 percentage points from the previous quarter, roughly equal to its share of the market a year prior (12.2%). Turnover in block size dark liquidity was 14.1% of total value traded, down 0.9 percentage points from the previous quarter.

Intraday volatility remained steady at a slightly elevated level, while the weighted average interday volatility for the S&P/ASX 200 index eased slightly in the quarter to around 1.6% after peaking at 1.9% in December 2014. The overall order-to-trade ratio increased to 8.1:1 in the quarter as the ASX reported a higher ratio that was partly offset by a lower ratio on Chi-X. 

Table 1 - Market characteristics - average for June 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)	684,075 (65.9%)	28,212 (2.7%)	64,830 (6.2%)	8,375 (0.8%)	201,533 (19.4%)	50,388 (4.9%)	1,037,413 (100.0%)
Value traded, $ million/day (market share)	3,063.4 (53.2%)	839.1 (14.6%)	310.7 (5.4%)	507.6 (8.8%)	529.3 (9.2%)	508.5 (8.8%)	5,758.6 (100.0%)
Order-to-trade ratio	6.5	na	na	na	13.8	na	8.1
Average trade size, $/trade	4,484	29,689	4,802	60,775	2,630	10,121	5,554

Table 2 - Measures of market concentration

Statistics	June 2014	April 2015	May 2015	June 2015
Total market Herfindahl index	0.41	0.48	0.47	0.47
Public venues Herfindahl index	0.71	0.70	0.69	0.69

Table 3 - Measures of market efficiency

Statistics	June 2014	April 2015	May 2015	June 2015
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	21.1 14.1	20.3 13.1	20.1 12.8	20.5 14.0
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	19.0 11.8	17.2 10.6	16.8 10.4	17.0 11.2
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	8.7 8.5	8.1 5.8	8.7 6.0	5.1 3.2

Figure 1: Market share - June 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