Equity market data for quarter ending December 2020

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 December quarter data

In the December 2020 quarter, 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 a decrease in ASX’s market share from last quarter where it was 83.9%. 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 66.5% in the December quarter from 67.6% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 15.2%, compared to 15.4% in the September quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, decreased to 0.70 in the December quarter from 0.71 in the September quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $0.1 billion from the September quarter to an average of $7.7 billion for the December quarter.

The overall order-to-trade ratio decreased from 8.2:1 in the September quarter to 8.1:1 in the December quarter.

Depth of the orderbook across the best bid and ask in the December 2020 quarter reached an average of $820,000 across the largest 200 securities and $759,000 across all stocks, compared to $780,000 and $747,000 last quarter, respectively. Quoted spreads in the December quarter have decreased for the largest 200 securities, currently at an average of 14.28 bps from 14.33 bps in September. Across all stocks, quoted spreads have also decreased, at 28.96 bps from 28.99 bps last quarter. Effective spreads have increased across the largest 200 securities, at 12.47 bps from 10.29 bps last quarter, and increased across all equity products, at 25.06 bps in the December quarter from 23.01 bps previously.

Table 1: Market characteristics – Average for December quarter 2020

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Chi-X on book	Chi-X trade reporting	Total
Number of trades per day	1,213,519	56,755	135,996	20,886	404,033	84,792	1,915,982
(market share)	63.3%	3.0%	7.1%	1.1%	21.1%	4.4%	100.0%
Value traded ($ million/day)	3,966.2	1,411.4	411.7	653.6	730.6	512.5	7,686.1
(market share)	51.6%	18.4%	5.4%	8.5%	9.5%	6.7%	100.0%
Order-to-trade ratio	6.2	na	10.4	na	13.3	na	8.1
Average trade size ($/trade)	3,263.8	24,855.0	3,041.3	33,579.2	1,804.5	6,154.4	4,006.7

Table 2: Measures of market concentration

Statistics	Dec 2019	Oct 2020	Nov 2020	Dec 2020
Total market	0.43	0.50	0.50	0.49
Public venues	0.69	0.69	0.70	0.70

Table 3: Measures of market efficiency

Market Efficiency Statistics	Dec 2019	Oct 2020	Nov 2020	Dec 2020
Quoted bid-ask spread (bps)
Largest 200 Stocks	11.59	16.97	11.90	13.99
All Securities	18.69	32.86	24.51	29.50
Effective bid-ask spread (bps)
Largest 200 Stocks	8.29	13.04	14.21	10.15
All Securities	14.12	27.05	24.44	23.70
Best depth ($)
Largest 200 Stocks	382,366.16	951,783.59	847,692.92	660,498.82
All Securities	491,207.04	864,019.86	785,268.48	627,230.17

Figure 1: Market share – December quarter 2020

Figure 2: 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 – December quarter 2020

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 best bid and ask prices