Equity market data for quarter ending March 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 March quarter data

In the March 2017 quarter, 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 declined to 66% in the March quarter, from 68% in the December 2016 quarter. Trade reporting turnover as a proportion of total dollar turnover increased by 1.9 percentage points (ppts) to 18.1% over the quarter. This was driven by a rise in ASX trade reporting daily turnover from $492 million to $591 million and Chi-X trade reporting daily turnover from $443 million to $457 million.

Overall daily turnover in the equity market averaged $5.8 billion in the March quarter, unchanged from the December 2016 quarter and slightly higher than $5.7 billion in the March 2016 quarter.

Turnover in block size dark liquidity rose by 1.5 percentage points to 15.1% of total value traded over the quarter. However, below block size dark liquidity declined to 12.4% of total value traded in the March quarter, compared to 13.7% in the December 2016 quarter.

The overall order-to-trade ratio declined to its lowest level since the March 2011 quarter at 6.6:1. Chi-X’s order-to-trade ratio averaged 9.1:1 and ASX’s ratio averaged 5.7:1 in the March quarter.

The weighted average quoted bid-ask spread for securities in the S&P/ASX 200 index fell marginally by 0.3 basis points (bps) to 14.1 bps of the midpoint price over the quarter, but remains within normal ranges. For all securities, the quoted bid-ask spread increased by 0.8 bps to 24.2 bps of the midpoint price.

Table 1: Market characteristics - average for March 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)
847,107  (61.1%)
34,135 (2.5%)
120,207 (8.7%)
16,045 (1.2%)
319,570 (23.1%)
48,225 (3.5%)
1,385,296 (100.0%)
Value traded, $ million/day (market share)
2,802.7 (48.5%)
917.3
(15.9%)
405.3
 (7.0%)
591.2 (10.2%)
605.3 (10.5%)
457.0
(7.9%)
5,778.9 (100.0%)
Order-to-trade ratio
5.6
na
na
na
9.1
na
6.6
Average trade size, $/trade
3,306
26,789
3,418
37,178
1,899
9,429
4,166

Table 2: Measures of market concentration

Statistics

March
2016

January
2017

February
2017

March
2017

Total market Herfindahl index

0.45

0.44

0.40

0.42

Public venues Herfindahl index

0.69

0.64

0.63

0.66

Table 3: Measures of market efficiency

Statistics
March
2016
January
2017
February
2017
March
2017

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

24.2
14.8
23.8
13.9
25.0
14.0
23.9
14.4
Effective bid-ask spread, bps
- All stocks
- S&P/ASX 200 stocks
19.1
11.2
19.6
10.6
20.5
10.6
19.4
10.9
Depth at best 5 price steps - all stocks, bps
- All stocks
- S&P/ASX 200 stocks
9.0
2.6
8.1
2.9
9.5
2.6
8.6
3.0

Figure 1: Market share - March quarter 2017

Figure 1 March 2017 1

Figure 2: Australia - Average daily turnover

Figure 2 March 2017 1

Figure 3: Average trade size by execution venue

Figure 3 March 2017 1

Figure 4: Dark liquidity proportion of total value traded

Figure 4 March 2017 1

Figure 5: Order-to-trade ratio

Figure 5 March 2017 1

Figure 6: Intraday trading profile - March quarter 2017

Figure 6 March 2017 1

Figure 7: Intraday volatility

Figure 7 March 2017 1

Figure 8: Interday volatility

Figure 8 March 2017 1

Figure 9: Herfindahl index

Figure 9 March 2017 1

Figure 10: Effective bid-ask spreads

Figure 10 March 2017 1

Figure 11: Quoted bid-ask spreads

Figure 11 March 2017 1

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

Figure 12 March 2017 1

 

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Last updated: 02/11/2017 08:42