Equity market data for quarter ending December 2016

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 2016, the ASX accounted for 82% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 18% 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 68% in the December quarter, from 66.6% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover decreased by 2.1 percentage points (ppts) to 16.2% over the quarter. This was driven by a fall in ASX trade reporting daily turnover from $536 million to $492 million and Chi-X trade reporting daily turnover from $496 million to $443 million.

Overall daily turnover in the equity market averaged $5.8 billion in the December quarter, slightly above $5.6 billion in the September quarter and $5.3 billion in the December quarter 2015, and continues to trend upwards over the past five years.

Turnover in block size dark liquidity declined by 1 percentage point to 13.6% of total value traded over the quarter. However, below block size dark liquidity increased to 13.7% of total value traded in the December quarter, compared to 13.1% in the September quarter.

The overall order-to-trade ratio declined to its lowest level since the March quarter 2013 at 7.2:1. Chi-X’s order-to-trade ratio averaged 10.6:1 and ASX’s ratio averaged 6:1 in the December quarter.

The weighted average quoted bid-ask spread for securities in the S&P/ASX 200 index rose by 1 basis point (bps) to 14.4 bps of the midpoint price over the quarter, but remains within normal ranges. For all securities, the quoted bid-ask spread declined marginally by 0.2 bps to 23.4 bps of the midpoint price.

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)
822,924(60.8%)
34,141 (2.5%)
136,990(10.1%)
11,669(0.9%)
299,628 (22.2%)
47,213(3.5%)
1,352,597(100.0%)
Value traded, $ million/day (market share)
2,873.3(49.9%)
909.5
(15.8%)
445.0
 (7.7%)
492.1(8.5%)
595.5(10.3%)
443.4
(7.7%)
5,758.8(100.0%)
Order-to-trade ratio
6.1
na
na
na
10.6
na
7.2
Average trade size, $/trade
3,486
26,652
3,245
42,186
1,986
9,430
4,255

Table 2: Measures of market concentration

Statistics

December
2015

October
2016

November
2016

December
2016

Total market Herfindahl index

0.49

0.42

0.44

0.45

Public venues Herfindahl index

0.71

0.63

0.64

0.64

Table 3: Measures of market efficiency

Statistics
December
2015
October
2016
November
2016
December
2016

Quoted bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks

24.3
15.1
24.1
14.3
23.6
14.6
22.5
14.3
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
20.3
12.5
19.0
10.4
18.9
10.9
18.2
11.0
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
6.0
3.2
8.2
3.2
7.0
2.4
6.6
2.8

Figure 1: Market share - December quarter 2016

Figure 1 Dec 2016

Figure 2: Australia - Average daily turnover

Figure 2 Dec 2016

Figure 3: Average trade size by execution venue

Figure 3 Dec 2016

Figure 4: Dark liquidity proportion of total value traded

Figure 4 Dec 2016

Figure 5: Order-to-trade ratio

Figure 5 Dec 2016

Figure 6: Intraday trading profile - December quarter 2016

Figure 6 Dec 2016

Figure 7: Intraday volatility

Figure 7 Dec 2016

Figure 8: Interday volatility

Figure 8 Dec 2016

Figure 9: Herfindahl index

Figure 9 Dec 2016

Figure 10: Effective bid-ask spreads

Figure 10 Dec 2016

Figure 11: Quoted bid-ask spreads

Figure 11 Dec 2016

Figure 12: Depth at five price steps as basis points of issued securities

Figure 12 Dec 2016

 

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Last updated: 31/01/2017 10:37