Equity market data for quarter ending June 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 June quarter data

In the June 2018 quarter, the ASX accounted for 80.8% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 19.2% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 79.8% and brings ASX’s share back above 80% for the first time since the September quarter 2017. 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 60.1% in the June quarter, from 62.6% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 20.9%, compared to 20.1% in the March quarter.

June quarter turnover in the Australian equity market increased from the March quarter from a daily average of $6.1 billion to $6.2 billion. This compares to a record daily average $6.4 billion in the June quarter of 2017.

The overall order-to-trade ratio decreased to 6.8:1, from the 7.0:1 in the March quarter, driven by Chi-X’s order-to-trade ratio decreasing from 9.6:1 to 9.3:1. 

The quoted bid-ask spread is still close to historically low levels for securities in the S&P/ASX 200 index; the weighted average spread decreased by 0.2 basis points (bps) to 12.5 bps of the midpoint price over the quarter. For all securities, the weighted average spread decreased by 3.8 bps to 22.1 bps of the midpoint price.

Table 1: Market characteristics - average for June 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

941,310

40,395

138,563

25,960

357,801

70,470

1,574,518

(market share)

59.8%

2.6%

8.8%

1.6%

22.7%

4.5%

100.0%

Value traded, $ million/day

2,718.7

1,186.7

431.0

704.6

599.9

598.0

6,238.9

(market share)

43.6%

19.0%

6.9%

11.3%

9.6%

9.6%

100.0%

Order-to-trade ratio

5.9

na

na

na

9.3

na

6.8

Average trade size ($/trade)

2,887

29,219

3,110

27,742

1,677

8,584

3,960

Table 2: Measures of market concentration

Statistics

Mar-17

Jan-18

Feb-18

Mar-18

Total market Herfindah index

0.42

0.38

0.39

0.43

Public venues Herfindah index

0.65

0.63

0.64

0.67

Table 3: Measures of market efficiency

Statistics

Mar-17

Jan-18

Feb-18 

Mar-18

Quoted bid–ask spread, bps

 

 

 

 

- All stocks

19.0

23.4

21.3

21.6

- S&P/ASX 200 stocks

13.1

12.6

12.4

12.6

Effective bid–ask spread, bps

 

 

 

 

- All stocks

15.4

19.1

17.6

17.6

- S&P/ASX 200 stocks

10.1

9.3

9.5

9.5

Depth at best 5 price steps–all stocks, bps 

 

 

 

 

- All stocks

7.2

8.4

6.0

6.9

- S&P/ASX 200 stocks

3.4

2.6

2.4

2.4

Figure 1: Market share - June quarter 2018

 Fig1

Figure 2: Australia - Average daily turnover

Fig2

Figure 3: Average trade size by execution venue

Fig3

Figure 4: Dark liquidity proportion of total value traded

Fig4

Figure 5: Order-to-trade ratio

Fig5

Figure 6: Intraday trading profile - June quarter 2018

Fig6

Figure 7: Intraday volatility

Fig7

Figure 8: Interday volatility

Fig8

Figure 9: Herfindahl index

Fig9

Figure 10: Effective bid-ask spreads

Fig10

Figure 11: Quoted bid-ask spreads

Fig11

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

Fig12

 

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Last updated: 24/01/2019 04:25