Equity market data for quarter ending March 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 March quarter data

In the March 2018 quarter, the ASX accounted for 79.8% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 20.2% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 78.6%, and the second consecutive quarter ASX's market share has been less than 80%. 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 62.6% in the March quarter, from 61.6% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 20.1%, compared to 21.5% over the December quarter.

March quarter turnover in the Australian equity market increased from the December quarter from a daily average of $5.8 billion to $6.1 billion. This compares to a record daily average $6.4 billion in the June quarter of 2017.

The overall order-to-trade ratio increased to 7.0:1, from the 6.6:1 in the December quarter driven by both Chi-X and ASX order-to-trade ratios increasing.

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 increased by 0.1 basis points (bps) to 12.7 bps of the midpoint price over the quarter. For all securities, the weighted average spread decreased by 2.3 bps to 25.9 bps of the midpoint price.

Table 1: Market characteristics - average for March 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

976,178

40,040

148,464

15,155

389,731

84,798

1,654,369

(market share)

59.0%

2.4%

9.0%

0.9%

23.6%

5.1%

100.0%

Value traded, $ million/day

2,766.1

1,061.1

424.1

655.8

660.1

580.9

6,148.1

(market share)

45.0%

17.3%

6.9%

10.7%

10.7%

9.4%

100.0%

Order-to-trade ratio

5.9

na

na

na

9.6

na

7.0

Average trade size ($/trade)

2,824

26,468

2,866

42,716

1,692

6,859

3,703

Table 2: Measures of market concentration

Statistics

Mar-17

Jan-18

Feb-18

Mar-18

Total market Herfindah index

0.42

0.40

0.39

0.38

Public venues Herfindah index

0.66

0.62

0.63

0.65

Table 3: Measures of market efficiency

Statistics

Mar-17

Jan-18

Feb-18 

Mar-18

Quoted bid–ask spread, bps

 

 

 

 

- All stocks

23.9

30.3

23.0

24.4

- S&P/ASX 200 stocks

14.4

12.7

12.6

12.7

Effective bid–ask spread, bps

 

 

 

 

- All stocks

19.4

25.6

18.5

19.9

- S&P/ASX 200 stocks

10.9

9.4

9.0

9.3

Depth at best 5 price steps–all stocks, bps 

 

 

 

 

- All stocks

8.6

12.6

7.2

8.7

- S&P/ASX 200 stocks

3.0

2.6

2.6

2.9

Figure 1: Market share - March 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 - March 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