Equity market data for quarter ending December 2019

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 2019 quarter, the ASX accounted for 84.1% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 15.9% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 83.8%. 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 increased to 59.5% in the December quarter from 58.3% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 18.9%, compared to 21.3% in the September quarter.

ASX's market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, was unchanged at 0.68 for the December quarter (maximum 1.00).

Turnover in the Australian equity market decreased over the December quarter to a daily average of $6.47 billion.

The overall order-to-trade ratio was unchanged from the September quarter to the December quarter, at 7.2:1.

The quoted spread for the S&P/ASX 200 index decreased to 11.6 bps of the midpoint price over the quarter, compared to 12.1 bps in the September quarter. For all securities, the quoted spread decreased by 0.7 bps to 19.9 bps of the midpoint price.

Table 1: Market characteristics – Average for December quarter 2019

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,	1,246,232	44,794	194,038	47,876	438,396	105,962	2,077,305
(market share)	60.0%	2.2%	9.3%	2.3%	21.1%	5.1%	100.0%
Value traded, $ million/day	2,889.6	1,402.0	393.0	757.6	567.5	465.1	6,474.8
(market share)	44.6%	21.7%	6.1%	11.7%	8.8%	7.2%	100.0%
Order-to-trade ratio	5.8	na	na	na	11.3	na	7.2
Average trade size ($/trade)	2,320	31,352	2,021	15,804	1,295	4,413	3,121

Table 2: Measures of market concentration

Statistics	Dec-18	Oct-19	Nov-19	Dec-19
Total market	0.45	0.43	0.44	0.44
Public venues	0.69	0.68	0.68	0.69

Table 3: Measures of market efficiency

Market efficiency statistics	Dec-18	Oct-19	Nov-19	Dec-19
Quoted bid-ask spread, bps
All stocks	18.6	21.1	20.0	18.6
S&P/ASX200 stocks	12.9	12.2	11.0	11.5
Effective bid-ask spread, bps
All stocks	14.3	17.0	15.8	14.4
S&P/ASX200 stocks	9.4	9.1	8.3	8.2
Depth at best 5 price steps, bps
All stocks	5.3	13.3	14.6	8.1
S&P/ASX200 stocks	2.2	2.6	2.4	2.3

Figure 1: Market share - December quarter 2019

Figure 2: Australia - Average daily turnover

Figure 3: Average trade size by execution venue

Figure 4: Dark liquidity proportion of total value traded

Figure 5: Order-to-trade ratio

Figure 6: Intraday trading profile – December quarter 2019

Figure 7: Intraday volatility

Figure 8: Interday volatility

Figure 9: Herfindahl index

Figure 10: Effective bid-ask spreads

Figure 11: Quoted bid-ask spreads

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