Equity market data for quarter ending June 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 June quarter data

In the June quarter 2016, the ASX accounted for 82.8% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.2% 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 increased to 68.9% in the June quarter, compared to 68.3% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover increased by 1.6 percentage points (ppts) to 18.3% over the quarter.

Overall daily turnover in the equity market averaged $5.7 billion in the June quarter, unchanged from the March quarter, and a decrease from $5.8 billion in the June quarter 2015.

Intraday and interday volatility eased from the peaks seen in the February. The weighted average interday volatility for the S&P/ASX 200 index was 1.9% in the quarter, down from 2.1% in the previous quarter.

The weighted average quoted bid-ask spread for securities in the S&P/ASX 200 index fell by 1.0 basis point (bps) to 13.8 bps of the midpoint price in the quarter while it rose by 0.9 bps to 24.4 bps of the midpoint price for all securities. The overall order-to-trade ratio decreased slightly to 8.0:1 in the quarter driven by falls on both Chi-X and ASX.

Below block size dark liquidity represented 12.6% of total value traded in the June quarter, up 1.0 ppts from the previous quarter, and higher than its share a year prior (12.0%). Turnover in block size dark liquidity was 12.6% of total value traded, slightly up by 0.1 ppts from the previous quarter.

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)	826,726  (64.1%)	33,516 (2.6%)	119,995  (9.3%)	16,880  (1.3%)	252,306 (19.6%)	40,443  (3.1%)	1,289,869 (100.0%)
Value traded, $ million/day (market share)	3,025.6 (52.7%)	846.3 (14.7%)	383.9 (6.7%)	500.7  (8.7%)	549.0 (9.6%)	438.4 (7.6%)	5,744.0 (100.0%)
Order-to-trade ratio	6.8	na	na	na	14.5	na	8.3
Average trade size, $/trade	3,6580	25,207	3,221	31,260	2,180	11,229	4,452

Table 2: Measures of market concentration

Statistics	June 2015	April 2016	May 2016	June 2016
Total market Herfindahl index	0.47	0.45	0.46	0.47
Public venues Herfindahl index	0.69	0.65	0.67	0.68

Table 3: Measures of market efficiency

Statistics	June 2015	April 2016	May 2016	June 2016
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	20.5 14.0	25.2 13.8	24.3 13.3	23.9 14.4
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	17.0 11.2	20.7 10.4	19.4 9.6	19.2 10.7
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	10.0 6.5	7.1 2.7	7.4 2.9	9.0 2.6

Figure 1: Market share - June 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 - June 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