Equity market data for quarter ending September 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 September quarter data

In the September 2018 quarter, the ASX accounted for 82.4% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.6% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 80.8%. 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 60.9% in the September quarter, from 60.1% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 20.4%, compared to 20.9% in the June 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 0.6. It has since risen to 0.66 (maximum 1.00).

September quarter turnover in the Australian equity market was steady compared with the June quarter, at a daily average of $6.2. This compares to a record daily average $6.4 billion in the June quarter of 2017.

The overall order-to-trade ratio increased to 6.9:1, from the 6.8:1 in the September quarter, driven by Chi-X’s order-to-trade ratio increasing from 9.3:1 to 10.0:1

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 was stable at 12.5 bps of the midpoint price over the quarter. For all securities, the weighted average spread decreased by 1.1 bps to 21.0 bps of the midpoint price.

Table 1: Market characteristics – Average for September 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,

1,009,142

40,581

148,202

40,801

376,463

56,085

1,671,277

(market share)

60.4%

2.4%

8.9%

2.4%

22.5%

3.4%

100.0%

Value traded, $ million/day

2,781.6

1,163.9

448.9

739.6

565.8

531.8

6,231.6

(market share)

44.6%

18.7%

7.2%

11.9%

9.1%

8.5%

100.0%

Order-to-trade ratio

5.9

na

na

na

10.0

na

6.9

Average trade size ($/trade)

2,755

28,636

3,026

18,874

1,504

9,528

3,723

Table 2: Measures of market concentration

Statistics

Sep-17

Jul-18

Aug-18

Sep-18

Total market

0.41

  0.41

 0.40

0.40

Public venues

0.62

  0.65

 0.65

0.66

Table 3: Measures of market efficiency

Market efficiency statistics

Sep-17

Jul-18

Aug-18

Sep-18

Quoted bid-ask spread, bps

 

 

 

 

- All stocks

24.5

 22.0

 20.6

20.4

- S&P/ASX200 stocks

13.3

 12.4

 12.3

12.7

Effective bid-ask spread, bps

 

 

 

 

- All stocks

20.4

17.9

16.8

16.4

- S&P/ASX200 stocks

10.3

9.3

9.3

9.5

Depth at best 5 price steps - all stocks, bps 

8.2

8.0

9.1

7.1

- S&P/ASX200

2.8

2.3

2.6

3.4

Figure 1: Market share - September quarter 2018

 Figure 1

Figure 2: Australia - Average daily turnover

Figure 2

Figure 3: Average trade size by execution venue

Figure 3

Figure 4: Dark liquidity proportion of total value traded

 Figure 4

Figure 5: Order-to-trade ratio

 Figure 5

Figure 6: Intraday trading profile - September quarter 2018

 Figure 6

Figure 7: Intraday volatility

 Figure 7

Figure 8: Interday volatility

 Figure 8

Figure 9: Herfindahl index

 Figure 9

Figure 10: Effective bid-ask spreads

 Figure 10

Figure 11: Quoted bid-ask spreads

 Figure 11

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

Figure 12

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Last updated: 24/01/2019 04:25