Equity market data for quarter ending September 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 September quarter data

In the September 2017 quarter, the ASX accounted for 80.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 19.5% 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 increased to 65% in the September quarter, from 64.8% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover remained relatively stable at 18.4% over the quarter.

Turnover in the Australian equity fell to a daily average of $5.7 billion in the September quarter. This compares to a record daily average of $6.4 billion in the June quarter and $5.8 billion in the March quarter.

The overall order-to-trade ratio increased from last quarter's lows of 6.4:1 to 6.8:1. Chi-X’s order-to-trade ratio increased to 8.5:1 and ASX’s ratio increased to an average 6.0:1 in the September quarter.

The quoted bid-ask spread is again at a historically low level for securities in the S&P/ASX 200 index; the weighted average spread decreased by 0.1 basis points (bps) to 13.2 bps of the midpoint price over the quarter. For all securities, the weighted average spread increased by 2.3 bps to 22.4 bps of the midpoint price.

Table 1: Market characteristics - average for September 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,

889,641

34,895

144,567

22,787

393,734

60,571

1,546,197

(market share)

57.5%

2.3%

9.3%

1.5%

25.5%

3.9%

100.0%

Value traded, $ million/day

2,628.5

931.1

420.0

573.4

635.4

472.5

5,660.8

(market share)

46.4%

16.4%

7.4%

10.1%

11.2%

8.3%

100.0%

Order-to-trade ratio

6.0

na

na

na

8.5

na

6.8

Average trade size ($/trade)

2,954

26,725

2,903

25,223

1,615

7,783

3,661

Table 2: Measures of market concentration

Statistics

Sep-16

Jul-17

Aug-17

Sep-17

Total market

0.40

0.44

0.39

0.41

Public venues

0.65

0.63

0.62

0.62

Table 3: Measures of market efficiency

Statistics

Sep-16

Jul-17

Aug-17 

Sep-17

Quoted bid–ask spread, bps

 

 

 

 

- All stocks

22.9

20.2

22.6

24.5

- S&P/ASX 200 stocks

13.4

13.1

13.3

13.3

Effective bid–ask spread, bps

 

 

 

 

- All stocks

18.3

16.0

18.3

20.4

- S&P/ASX 200 stocks

10.1

9.7

9.9

10.3

Depth at best 5 price steps–all stocks, bps 

 

 

 

 

- All stocks

6.4

6.8

7.2

8.2

- S&P/ASX 200 stocks

2.3

2.8

2.7

2.8

Figure 1: Market share - September quarter 2017

 Figure 1 Oct 2017

Figure 2: Australia - Average daily turnover

Figure 2 Oct 2017

Figure 3: Average trade size by execution venue

Figure 3 Oct 2017

Figure 4: Dark liquidity proportion of total value traded

Figure 4 Oct 2017

Figure 5: Order-to-trade ratio

Figure 5 Oct 2017

Figure 6: Intraday trading profile - September quarter 2017

Figure 6 Oct 2017

Figure 7: Intraday volatility

Figure 7 Oct 2017

Figure 8: Interday volatility

Figure 8 Oct 2017

Figure 9: Herfindahl index

Figure 9 Oct 2017

Figure 10: Effective bid-ask spreads

Figure 10 Oct 2017

Figure 11: Quoted bid-ask spreads

Figure 11 Oct 2017

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

Figure 12 Oct 2017

 

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Last updated: 02/11/2017 08:42