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).

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
- all stocks, bps

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

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 - September 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