Equity market data for quarter ending June 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 June quarter data

In the June 2020 quarter, the ASX accounted for 85.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 14.5% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 85.1%. 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 increased to 66.6% in the June quarter from 64.9% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 13.8%, compared to 16.1% in the March quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, increased to 0.72 in the June quarter from 0.68 in the March quarter (maximum 1.00).

Turnover in the Australian equity market decreased over the June quarter to a daily average of $9.00 billion.

The overall order-to-trade ratio increased from 7.1:1 in the March quarter to 7.5:1 in the June quarter.

The quoted spread for the largest 200 stocks increased to 15.6 bps of the midpoint price over the quarter, compared to 13.3 bps in the March quarter. For all securities, the quoted spread increased by 3.8 bps to 25.7 bps of the midpoint price.

Table 1: Market characteristics – Average for June 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,

1,486,034

60,178

124,324

13,119

452,717

73,952

2,210,328

(market share)

67.2%

2.7%

5.6%

0.6%

20.5%

3.3%

100.0%

Value traded, $ million/day

4,763.7

1,758.2

470.7

703.5

765.8

542.7

9,004.6

(market share)

52.9%

19.5%

5.2%

7.8%

8.5%

6.0%

100.0%

Order-to-trade ratio

5.9

na

8.3

na

12.7

na

7.5

Average trade size ($/trade)

3,222

29,161

3,792

56,527

1,692

7,288

4,084

Table 2: Measures of market concentration

Statistics

Jun-19

Apr-20

May-20

Jun-20

Total market

0.42

0.54

0.51

0.51

Public venues

0.68

0.72

0.72

0.72

Table 3: Measures of market efficiency

Market efficiency statistics

Jun-19

Apr-20

May-20

Jun-20

Quoted bid-ask spread, bps

All securities

19.8

27.1

24.9

25.0

Largest 200 stocks

12.4

16.4

15.3

15.1

Effective bid-ask spread, bps

All securities

15.3

19.2

18.1

18.1

Largest 200 stocks

9.3

11.7

10.9

10.5

Best depth, $

All securities

734,704

274,654

411,406

455,855

Largest 200 stocks

533,857

175,694

277,676

295,278

Figure 1: Market share – June quarter 2020

Figure1

Figure 2: Australia – Average daily turnover

Figure2

Figure 3: Average trade size by execution venue

Figure3

Figure 4: Dark liquidity proportion of total value traded

Figure4

Figure 5: Order-to-trade ratio

Figure5

Figure 6: Intraday trading profile – June quarter 2020

Figure6

Figure 7: Intraday volatility

Figure7

Figure 8: Interday volatility

Figure8

Figure 9: Herfindahl index

Figure9

Figure 10: Effective bid-ask spreads

Figure10

Figure 11: Quoted bid-ask spreads

Figure11

Figure 12: Depth at best bid and ask prices

Figure12

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Last updated: 30/03/2021 09:22