Equity market data for quarter ending December 2018

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 2018 quarter, 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. This is an increase in ASX's market share from the last quarter where it was 82.4%. 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 60.3% in the December quarter, from 60.9% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 18.7%, compared to 20.4% in the September quarter.

After a multiyear trend down, ASX’s market share has increased steadily since October 2017. In October 2017 the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes reached a low of 0.60. It has since risen to 0.69 (maximum 1.00).

Turnover in the Australian equity market increased over the December quarter at a daily average of $6.44 billion, eclipsing the previous record of $6.37 billion from June 2017.

The overall order-to-trade ratio increased to 7.2:1, from 6.9:1 in the September quarter, driven by Chi-X’s order-to-trade ratio increasing from 10.1:1 to 10.8:1.

The quoted spread for the S&P/ASX 200 index increased to 13.0 bps of the midpoint price over the quarter, compared to 12.5 bps in the September quarter. For all securities, the quoted spread decreased by 0.2 bps to 20.8 bps of the midpoint price.of the midpoint price.

Table 1: Market characteristics – Average for December quarter 2018     

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

1,133,957

39,762

135,323

45,919

408,547

51,061

1,814,579

(market share)

62.5%

2.2%

7.5%

2.5%

22.5%

2.8%

100.0%

Value traded, $ million/day

2,869.1

1,352.6

436.2

675.7

578.1

532.3

6,444.0

(market share)

44.5%

21.0%

6.8%

10.5%

9.0%

8.3%

100.0%

Order-to-trade ratio

5.9

na

na

na

10.8

na

7.2

Average trade size ($/trade)

2,532

34,087

3,236

14,740

1,415

10,425

3,552

Table 2: Measures of market concentration

Statistics

Dec-17

Oct-18

Nov-18

Dec-18

Total market

0.38

0.43

0.41

0.45

Public venues

0.63

0.66

0.66

0.69

Table 3: Measures of market efficiency

Market efficiency statisticsDec-17Oct-18Nov-18Dec-18
Quoted bid-ask spread, bps        
- All stocks 26.7 23.0 20.8 18.6
- S&P/ASX200 stocks 12.8 13.2 13.1 12.9
Effective bid-ask spread, bps        
- All stocks 22.4 18.9 16.6 14.3
- S&P/ASX200 stocks 9.6 10.1 9.8 9.4
Depth at best 5 price steps
- all stocks, bps
10.2 9.3 6.5 5.3
- S&P/ASX200 2.7 2.9 2.1 2.2

Figure 1: Market share - December quarter 2018

 F1

Figure 2: Australia - Average daily turnover

F2

Figure 3: Average trade size by execution venue

F3

Figure 4: Dark liquidity proportion of total value traded

 F4

Figure 5: Order-to-trade ratio

 F5

Figure 6: Intraday trading profile - December quarter 2018

 F6

Figure 7: Intraday volatility

 F7

Figure 8: Interday volatility

 F8

Figure 9: Herfindahl index

 F9

Figure 10: Effective bid-ask spreads

 F10

Figure 11: Quoted bid-ask spreads

 F11

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

F12

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Last updated: 24/01/2019 04:25