Equity market data for quarter ending March 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).
Summary
Tables
Table 1: Market characteristics – average for March quarter 2019
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – March 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 – March quarter 2019
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
Equity market data from other quarters
Summary of March quarter data
In the March 2019 quarter, the ASX accounted for 83.4% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.6% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 82.8%. 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 58.9% in the March quarter from 60.3% in the December 2018 quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 19.9%, compared to 18.7% in the December quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, decreased from 0.69 to 0.66 for the March quarter (maximum 1.00).
Turnover in the Australian equity market decreased slightly over the March quarter at a daily average of $6.41 billion. However, February and March 2019 set new monthly records for market activity with $7.05 billion and $7.04 billion value traded, respectively.
The overall order-to-trade ratio decreased to 7.1:1 in the March quarter, from 7.2:1 in the December quarter.
The quoted spread for the S&P/ASX 200 index decreased slightly to 12.9 bps of the midpoint price over the quarter, compared to 13.0 bps in the December quarter. For all securities, the quoted spread decreased by 1.3 bps to 19.5 bps of the midpoint price.
Table 1: Market characteristics – Average for March 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, |
1,202,796 |
40,484 |
173,569 |
38,843 |
463,196 |
76,715 |
1,995,613 |
|
(market share) |
60.3% |
2.0% |
8.7% |
1.9% |
23.2% |
3.8% |
100.0% |
|
Value traded, $ million/day |
2,745.2 |
1,361.3 |
441.0 |
793.4 |
583.8 |
481.1 |
6,405.7 |
|
(market share) |
42.9% |
21.3% |
6.9% |
12.4% |
9.1% |
7.5% |
100.0% |
|
Order-to-trade ratio |
5.9 |
na |
na |
na |
10.5 |
na |
7.1 |
|
Average trade size ($/trade) |
2,275 |
33,444 |
2,552 |
20,612 |
1,255 |
6,385 |
3,200 |
Table 2: Measures of market concentration
|
Statistics |
Mar-18 |
Jan-19 |
Feb-19 |
Mar-19 |
|
Total market |
0.38 |
0.43 |
0.41 |
0.41 |
|
Public venues |
0.65 |
0.67 |
0.65 |
0.66 |
Table 3: Measures of market efficiency
|
Market efficiency statistics |
Mar-18 |
Jan-19 |
Feb-19 |
Mar-19 |
|
Quoted bid-ask spread, bps |
||||
|
- All stocks |
24.4 |
20.0 |
18.8 |
19.6 |
|
- S&P/ASX200 stocks |
12.7 |
13.4 |
12.7 |
12.6 |
|
Effective bid-ask spread, bps |
||||
|
- All stocks |
19.9 |
15.5 |
14.8 |
15.5 |
|
- S&P/ASX200 stocks |
9.3 |
9.7 |
9.4 |
9.4 |
|
Depth at best 5 price steps |
8.7 |
5.2 |
8.6 |
8.3 |
|
S&P/ASX200 |
2.9 |
2.0 |
3.4 |
3.5 |
Figure 1: Market share - March 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 - March 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
