Equity market data for quarter ending June 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 June quarter data

In the June 2019 quarter, the ASX accounted for 82.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.5% of total dollar turnover. This is a decrease in ASX's market share from the last quarter where it was 83.4%. 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 increased to 59.4% in the June quarter from 58.9% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 19.2%, compared to 19.9% in the March quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, was unchanged at 0.66 for the June quarter (maximum 1.00).

Turnover in the Australian equity market increased over the June quarter at a daily average of $6.82 billion. June 2019 set a monthly record for market activity with $7.67 billion value traded per day.

The overall order-to-trade ratio decreased to 6.9:1 in the June quarter, from 7.1:1 in the March quarter.

The quoted spread for the S&P/ASX 200 index decreased to 12 bps of the midpoint price over the quarter, compared to 12.9 bps in the March quarter. For all securities, the quoted spread increased by 0.1 bps to 19.6 bps of the midpoint price.

Table 1: Market characteristics – Average for June quarter 2019

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,

1,271,822

45,849

197,397

36,105

478,723

96,119

2,126,026

(market share)

59.8%

2.2%

9.3%

1.7%

22.5%

4.5%

100.0%

Value traded, $ million/day

2,958.8

1,454.2

466.3

742.6

627.9

567.8

6,817.5

(market share)

43.4%

21.3%

6.8%

10.9%

9.2%

8.3%

100.0%

Order-to-trade ratio

5.6

na

na

na

10.5

na

6.9

Average trade size ($/trade)

2,324

31,517

2,363

20,464

1,310

5,901

3,199

Table 2: Measures of market concentration

Statistics

Jun-18

Apr-19

May-19

Jun-19

Total market

0.43

0.42

0.43

0.42

Public venues

0.67

0.66

0.65

0.68

Table 3: Measures of market efficiency

Market efficiency statistics

Mar-18

Jan-19

Feb-19

Mar-19

Quoted bid-ask spread, bps

       

- All stocks

21.6

19.3

19.7

19.7

- S&P/ASX200 stocks

12.6

12.2

11.5

12.4

Effective bid-ask spread, bps

       

- All stocks

17.6

15.6

16.1

16.3

- S&P/ASX200 stocks

9.5

9.2

8.8

9.6

Depth at best 5 price steps
- all stocks, bps

6.9

11.9

10.4

11.3

S&P/ASX200

2.4

4.1

3.3

3.0

Figure 1: Market share - June quarter 2019

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 2019

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

Report suspicious activity

If you are a market participant and you see or suspect market misconduct you must notify ASIC

Lodge a suspicious activity report

Subscribe for updates

For the latest regulatory developments and issues affecting market intermediaries subscribe to our monthly Market Integrity Update.

MECS portal

The market entity compliance system (MECS) provides market entities with tools and information to assist with compliance.

Login to MECS

What's new

More financial markets releases

Last updated: 16/03/2020 09:56