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 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 - December quarter 2016

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