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

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

Chart: Intraday trading profile - June quarter 2015

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