Equity market data for quarter ending September 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 September quarter data

In the September quarter 2016, ASX accounted for 81.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 18.5% 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 declined to 66.6% in the September quarter, from 68.3% in the June quarter. This was driven by a fall in ASX on-order book daily turnover from $3.0 billion to $2.8 billion. 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 $5.6 billion in the September quarter, slightly below $5.7 billion in both the June quarter and the September quarter 2015.

Turnover in block size dark liquidity rose by 2 ppts to 14.6% of total value traded over the quarter. Below block size dark liquidity increased more moderately to 13.0% of total value traded in the September quarter, compared to 12.6% in the June quarter.

Intraday and interday volatility continued to ease from peaks seen in February 2016. The weighted average interday volatility for the S&P/ASX 200 index was 1.6% in the quarter, down from 1.9% in the previous quarter.

The weighted average quoted bid–ask spread for securities in the S&P/ASX 200 index is near historical lows after falling by 0.4 basis points (bps) to 13.4 bps of the midpoint price over the quarter. The quoted bid-ask spread also declined by 0.8 bps to 23.6 bps of the midpoint price for all securities. The overall order-to-trade ratio decreased to 7.5:1 in the quarter driven largely by a fall in Chi-X’s ratio.

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)
795,969(61.7%)
34,016 (2.6%)
134,341(10.4%)
15,388(1.2%)
266,466 (20.7%)
42,925(3.3%)
1,289,115 (100.0%)
Value traded, $ million/day (market share)
2,819.7(50.0%)
854.2 (15.1%)
392.3 (6.9%)
536.3(9.5%)
546.6 (9.7%)
495.6 (8.8%)
5,644.7 (100.0%)
Order-to-trade ratio
6.3
na
na
na
11.2
na
7.5
Average trade size, $/trade
3,542
25,067
2,915
36,785
2,054
11,563
4,376

Table 2: Measures of market concentration

Statistics

September 2015

July 2016

August 2016

September 2016

Total market Herfindahl index

0.48

0.46

0.43

0.40

Public venues Herfindahl index

0.70

0.66

0.65

0.65

Table 3: Measures of market efficiency

Statistics
September 2015
July 2016
August 2016
September 2016

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

20.8
14.8
24.3
13.4
23.7
13.4
22.9
13.4
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
17.2
12.0
19.4
9.8
18.8
9.8

18.3
10.1
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
5.0
2.6
6.9
2.2
6.6
2.2
6.4
2.3

Figure 1: Market share - September quarter 2016

 Figure1

Figure 2: Australia - Average daily turnover

 Figure 2

Figure 3: Average trade size by execution venue

Figure 3 

Figure 4: Dark liquidity proportion of total value traded

Figure 4 

Figure 5: Order-to-trade ratio

 Figure 5

Figure 6: Intraday trading profile - September quarter 2016

 Figure 6

Figure 7: Intraday volatility

 Figure 7

Figure 8: Interday volatility

 Figure 8

Figure 9: Herfindahl index

 Figure 9

Figure 10: Effective bid-ask spreads

 Figure 10

Figure 11: Quoted bid-ask spreads

 Figure 11

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

 Figure 12

 

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Last updated: 31/01/2017 10:38