Equity market data for quarter ending September 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 September quarter data 

In the September quarter 2015, the ASX accounted for 83.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.5% 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 rose to 69.9% in the September quarter, compared to 67.8% in the June quarter. Conversely, trade reporting turnover as a proportion of total dollar turnover fell by 1.7 percentage points to 15.9% over the quarter.

Overall daily turnover in the equity market averaged $5.7 billion in the September quarter, broadly stable from the June quarter, and an increase from $4.9 billion in the September quarter 2014. The weighted average quoted bid-ask spread for securities in the ASX 200 index rose by 0.7 basis points (bps) to 14.0 bps of the midpoint price in the quarter and was unchanged at 20.3 bps of the midpoint price for all securities.

Intraday volatility and interday volatility peaked in August 2015 to levels just below the European debt crisis peak of August 2011. The weighted average interday volatility for the S&P/ASX 200 index was 2.0% in the quarter, up from 1.6% in the previous quarter. The overall order-to-trade ratio increased slightly to 8.4:1 in the quarter driven by an increase on Chi-X.

Below block size dark liquidity represented 10.5% of total value traded in the September quarter, down 1.5 percentage points from the previous quarter, and lower than its share a year prior (11.8%). Turnover in block size dark liquidity was 12.1% of total value traded, down 2.0 percentage points from the previous quarter.

Table 1 - Market characteristics - average for September 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)
715,299 (66.2%)
29,001
(2.7%)
69,260
(6.4%)
11,282
(1.0%)
207,792
(19.2%)
48,229
(4.5%)
1,080,862
(100.0%)
Value traded, $ million/day
(market share)
3,149.5
(55.0%)
811.3
(14.2%)
281.6
(4.9%)
537.7
(9.4%)
572.0
(10.0%)
372.9
(6.5%)
5,724.8
(100.0%)
Order-to-trade ratio
6.5
na
na
na
15.1
na
8.4
Average trade size, $/trade
4,392
27,886
4,097
48,492
2,750
7,738
5,280

Table 2 - Measures of market concentration

Statistics

Sept 14

July 2015

Aug 2015

Sept 2015

Total market Herfindahl index

0.44

0.50

0.48

0.48

Public venues Herfindahl index

0.70

0.68

0.69

0.70

Table 3 - Measures of market efficiency

Statistics
Sept 14
Jul 15
Aug 15
Sept 15
Quoted bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
21.9
14.2
20.5
13.7
19.6
13.7
20.8
14.8
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
18.3
11.8
17.0
11.1
16.4
11.3
17.2
12.0
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
6.2
3.5
5.1
3.1
7.0
2.9
5.0
2.6

Figure 1: Market share - September 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 - September 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