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).

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
- all stocks, bps

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

1

Figure 2: Australia - Average daily turnover

2

Figure 3: Average trade size by execution venue

3

Figure 4: Dark liquidity proportion of total value traded

4

Figure 5: Order-to-trade ratio

5

Figure 6: Intraday trading profile - March quarter 2019

6

Figure 7: Intraday volatility

7

Figure 8: Interday volatility

8

Figure 9: Herfindahl index

9

Figure 10: Effective bid-ask spreads

10

Figure 11: Quoted bid-ask spreads

11

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

12

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Last updated: 16/03/2020 09:56