Equity market data for quarter ending March 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 March quarter data

In the March quarter 2015, the ASX accounted for 82.9% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.1% 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. Chi-X and ASX trade reporting both increased over the quarter compared with December quarter 2014, up 13% and 22% respectively.

Overall daily turnover in the equity market averaged $5.5 billion in the March quarter, an increase from $4.9 billion in the December quarter 2014. The weighted average quoted bid-ask spread for securities in the ASX200 index remained at 14 basis points of the midpoint price in the quarter. The weighted average quoted bid-ask spread for all securities decreased slightly to 20.8 basis points of the midpoint price.

Below block size dark liquidity represented 11.4% of total value traded in the March quarter, unchanged from the previous quarter, roughly equal to its share of the market a year prior (11%). Turnover in block size dark liquidity was 15% of total value traded, unchanged from the previous quarter.

The Herfindahl index was unchanged across the public order book and broker crossings during the quarter, showing that market fragmentation remained stable. Intraday and interday volatility was steady in the quarter at around 17% after peaking in December 2014. The overall order-to-trade ratio decreased to 7.5:1 in the quarter as both the ASX and Chi-X reported lower ratios.

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)
663,261
(69.1%)
25,594
(2.7%)
65,949
(6.9%)
8,898
(0.9%)
153,096
(15.9%)
43,616
(4.5%)
960,414
(100.0%)
Value traded, $ million/day
(market share)
2,888.2
(52.3%)
795.8
(14.4%)
305.9
(5.5%)
585.2
(10.6%)
435.1
(7.9%)
511.7
(9.3%)
5,522.0
(100.0%)
Order-to-trade ratio
6.2
na
na
na
16.7
na
8.1
Average trade size, $/trade
4,346
30,975
4,633
66,701
2,834
11,657
5,728

Table 2 - Measures of market concentration

Statistics

March 2014

January 2015

February 2015

March 2015

Total market Herfindahl index

0.43

0.50

0.45

0.44

Public venues Herfindahl index

0.72

0.72

0.70

0.71

Table 3 - Measures of market efficiency

Statistics
March 2014
January 2015
February 2015
March 2015
Quoted bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
20.7
14.6
21.1
14.7
19.9
13.6
21.4
13.9
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
18.8
13.1
17.5
11.8
16.6
11.1
18.0
11.4
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
7.7
4.2
8.2
3.0
6.6
4.9
10.0
6.5

Figure 1: Market share - March 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 - March quarter 2015

 Chart: Intraday trading profile - June 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: 23/03/2016 03:05