Equity market data for quarter ending March 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).
Summary
Tables
Table 1: Market characteristics – average for March quarter 2020
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – March quarter 2020
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 – March quarter 2020
Figure 10: Effective bid–ask spreads
Equity market data from other quarters
Summary of March quarter data
In the March 2020 quarter, the ASX accounted for 85.1% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 14.9% of total dollar turnover. This is an increase in ASX's market share from the last quarter where it was 84.1%. 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 64.9% in the March quarter from 59.5% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 16.1%, compared to 18.9% in the December quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, was unchanged at 0.68 for the March quarter (maximum 1.00).
Turnover in the Australian equity market increased over the March quarter to a daily average of $9.45 billion.
The overall order-to-trade ratio decreased from 7.2:1 in the December quarter to 7.1:1 in the March quarter.
The quoted spread for the largest 200 stocks increased to 13.3 bps of the midpoint price over the quarter, compared to 11.6 bps in the December quarter. For all securities, the quoted spread increased by 2.0 bps to 21.9 bps of the midpoint price.
Table 1: Market characteristics – Average for March 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, |
1,788,028 |
53,214 |
198,778 |
59,867 |
624,371 |
101,870 |
2,826,129 |
|
(market share) |
63.3% |
1.9% |
7.0% |
2.1% |
22.1% |
3.6% |
100.0% |
|
Value traded, $ million/day |
4,696.7 |
1,796.1 |
594.7 |
954.2 |
839.6 |
565.7 |
9,447.0 |
|
(market share) |
49.7% |
19.0% |
6.3% |
10.1% |
8.9% |
6.0% |
100.0% |
|
Order-to-trade ratio |
5.8 |
na |
6.4 |
na |
11.2 |
na |
7.1 |
|
Average trade size ($/trade) |
2,585 |
33,182 |
2,913 |
15,532 |
1,343 |
5,561 |
3,307 |
Table 2: Measures of market concentration
|
Statistics |
Mar-19 |
Jan-20 |
Feb-20 |
Mar-20 |
|---|---|---|---|---|
|
Total market |
0.41 |
0.45 |
0.42 |
0.51 |
|
Public venues |
0.66 |
0.68 |
0.67 |
0.70 |
Table 3: Measures of market efficiency
|
Market efficiency statistics |
Mar-19 |
Jan-20 |
Feb-20 |
Mar-20 |
|---|---|---|---|---|
|
Quoted bid-ask spread, bps |
||||
|
All securities |
19.6 |
19.1 |
19.9 |
26.9 |
|
Largest 200 stocks |
12.6 |
11.4 |
11.7 |
16.7 |
|
Effective bid-ask spread, bps |
||||
|
All securities |
14.7 |
13.8 |
14.4 |
19.4 |
|
Largest 200 stocks |
9.2 |
7.9 |
8.1 |
12.4 |
|
Best depth, $ |
||||
|
All securities |
605,126 |
685,952 |
689,181 |
387,855 |
|
Largest 200 stocks |
552,311 |
383,959 |
374,240 |
165,747 |
Figure 1: Market share – March quarter 2020
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 – March 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
