Equity market data for quarter ending December 2017

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 2017 quarter, the ASX accounted for 78.6% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 21.4% 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 decreased to 61.6% in the December quarter, from 65.0% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 21.5% compared to 18.5% over the September quarter.

December quarter turnover in the Australian equity market was similar to the September quarter with a daily average of $5.8 billion. This compares to a record daily average $6.4 billion in the June quarter.

The overall order-to-trade ratio decreased to 6.6:1, from the 6.8:1 in the September quarter. Chi-X’s order-to-trade ratio increased to 8.7:1 and ASX’s ratio decreased to an average 5.7:1 in the December quarter.

The quoted bid-ask spread is still at historically low levels for securities in the S&P/ASX 200 index; the weighted average spread decreased by 0.6 basis points (bps) to 12.6 bps of the midpoint price over the quarter. For all securities, the weighted average spread increased by 5.8 bps to 28.2 bps of the midpoint price.

Table 1: Market characteristics - average for December quarter

Statistics

ASX on book

ASX auctions

ASX Centre point

ASX trade reporting

Chi-X on book

Chi-X trade reporting

Total

Number of trades per day,

916,850

38,268

143,786

25,034

396,212

68,619

1,588,769

(market share)

57.7%

2.4%

9.1%

1.6%

24.9%

4.3%

100.0%

Value traded, $ million/day

2,529.6

989.01

413.9

659.1

655.7

596.2

5,843.5

(market share)

43.3%

16.9%

7.1%

11.3%

11.2%

10.2%

100.0%

Order-to-trade ratio

5.7

na

na

na

8.7

na

6.6

Average trade size ($/trade)

2,760

25,755

2,880

26,128

1,658

8,691

3,677

Table 2: Measures of market concentration

Statistics

Dec-16

Oct-17

Nov-17

Dec-17

Total market

0.45

0.40

0.35

0.38

Public venues

0.64

0.60

0.62

0.63

Table 3: Measures of market efficiency

Statistics

Dec-16

Oct-17

Nov-17

Dec-17

Quoted bid–ask spread, bps

       

- All stocks

22.5

28.0

29.8

26.7

- S&P/ASX 200 stocks

14.3

13.1

11.9

12.8

Effective bid–ask spread, bps

       

- All stocks

18.2

23.9

25.0

22.4

- S&P/ASX 200 stocks

11.0

10.3

8.8

9.6

Depth at best 5 price steps–all stocks, bps

       

- All stocks

6.6

11.3

12.6

10.2

- S&P/ASX 200 stocks

2.8

3.3

2.6

2.7

Figure 1: Market share - December quarter 2017

Fig 1 Dec 2017

Figure 2: Australia - Average daily turnover

Fig 2 Dec 2017

Figure 3: Average trade size by execution venue

Fig 3 Dec 2017

Figure 4: Dark liquidity proportion of total value traded

Fig 4 Dec 2017

Figure 5: Order-to-trade ratio

Fig 5 Dec 2017

Figure 6: Intraday trading profile - December quarter 2017

Fig 6 Dec 2017

Figure 7: Intraday volatility

Fig 7 Dec 2017

Figure 8: Interday volatility

Fig 7 Dec 2017

Figure 9: Herfindahl index

Fig 9 Dec 2017

Figure 10: Effective bid-ask spreads

Fig 10 Dec 2017

Figure 11: Quoted bid-ask spreads

Fig 11 Dec 2017

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

Fig 12 Dec 2017

 

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Last updated: 31/01/2018 04:18