Equity market data for quarter ending September 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
Summary of September quarter data
Tables
Table 1: Market characteristics – average for September quarter 2019
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – September 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 – September 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 September quarter data
In the September 2019 quarter, the ASX accounted for 83.8% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.2% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 82.5%. 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 58.3% in the September quarter from 59.4% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 21.3%, compared to 19.2% in the June quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, increased from 0.66 to 0.68 for the September quarter (maximum 1.00).
Turnover in the Australian equity market increased further over the September quarter at a daily average of $7.24 billion. September 2019 set a record for average monthly market turnover with $7.69 billion value traded per day.
The overall order-to-trade ratio increased to 7.2:1 in the September quarter, from 6.9:1 in the June quarter.
The quoted spread for the S&P/ASX 200 index slightly increased to 12.1 bps of the midpoint price over the quarter, compared to 12 bps in the June quarter. For all securities, the quoted spread increased by 1 bp to 20.6 bps of the midpoint price.
Table 1: Market characteristics – Average for September 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, |
1,349,529 |
49,214 |
201,333 |
48,731 |
504,644 |
84,775 |
2,238,229 |
|
(market share) |
60.3% |
2.2% |
9.0% |
2.2% |
22.5% |
3.8% |
100.0% |
|
Value traded, $ million/day |
3,159.4 |
1,480.7 |
429.7 |
1,002.4 |
633.8 |
537.2 |
7,243.3 |
|
(market share) |
43.6% |
20.4% |
5.9% |
13.8% |
8.8% |
7.4% |
100.0% |
|
Order-to-trade ratio |
5.9 |
na |
na |
na |
10.8 |
na |
7.2 |
|
Average trade size ($/trade) |
2,336 |
30,031 |
2,135 |
20,646 |
1,256 |
6,337 |
3,232 |
Table 2: Measures of market concentration
|
Statistics |
Sep-18 |
Jul-19 |
Aug-19 |
Sep-19 |
|
Total market |
0.40 |
0.38 |
0.43 |
0.41 |
|
Public venues |
0.66 |
0.67 |
0.67 |
0.70 |
Table 3: Measures of market efficiency
|
Market efficiency statistics |
Sep-18 |
Jul-19 |
Aug-19 |
Sep-19 |
|
Quoted bid-ask spread, bps |
||||
|
- All stocks |
20.4 |
21.0 |
20.4 |
20.5 |
|
- S&P/ASX200 stocks |
12.7 |
11.9 |
12.2 |
12.3 |
|
Effective bid-ask spread, bps |
||||
|
- All stocks |
16.4 |
17.2 |
16.2 |
16.5 |
|
- S&P/ASX200 stocks |
9.5 |
9.1 |
8.8 |
9.3 |
|
Depth at best 5 price steps |
7.1 |
13.3 |
13.5 |
11.3 |
|
S&P/ASX200 |
3.4 |
3.1 |
2.8 |
2.7 |
Figure 1: Market share - September 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 - September 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
