Equity market data for quarter ending December 2021

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 for Quarter Ending December 2021

In the December 2021 quarter, ASX accounted for 82.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.5% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 83.0%. 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 63.3% in the December quarter from 64.1% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover was unchanged from the September quarter at 16.7%.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, remains at 0.69 in the December quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $0.2 billion from the September quarter to an average of $8.2 billion for the December quarter.

The overall order-to-trade ratio increased from 7.9:1 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 2021 quarter reached an average of $450,000 across the largest 200 securities and $529,000 across all stocks, compared to $608,000 and $639,000 last quarter (excluding BLD), respectively. Quoted spreads in the December quarter have decreased for the largest 200 securities, currently at an average of 11.44 bps from 13.65 bps last quarter. Across all stocks, quoted spreads have decreased, at 21.51 bps from 26.21 bps last quarter. Effective spreads have increased across the largest 200 securities, at 10.21 bps from 9.64 bps last quarter, and increased across all equity products, at 20.96 bps in the December quarter from 20.52 bps previously.

Table 1: Market Characteristics – Average for December Quarter 2021

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	1,368,671	61,209	113,458	20,134	449,883	75,260	2,088,615
(market share)	65.5%	2.9%	5.4%	1.0%	21.5%	3.6%	100.0%
Value traded ($ million/day)	3,965.6	1,648.9	480.3	686.0	757.2	684.2	8,222.2
(market share)	48.2%	20.1%	5.8%	8.3%	9.2%	8.3%	100.0%
Order-to-trade ratio	6.1	na	12.7	na	13.5	na	8.1
Average trade size ($/trade)	2,893.4	26,946.3	4,228.5	34,277.9	1,679.4	9,102.6	3,932.4

Table 2: Measures of market concentration

Statistics	Dec 2020	Oct 2021	Nov 2021	Dec 2021
Total market	0.49	0.45	0.46	0.49
Public venues	0.70	0.68	0.68	0.70

Table 3: Measures of market efficiency

Market Efficiency Statistics	Dec 2020	Oct 2021	Nov 2021	Dec 2021
Quoted bid-ask spread (bps)
Top 200 securities by turnover	13.99	11.76	11.55	11.00
All Securities	29.50	22.97	22.16	19.39
Effective bid-ask spread (bps)
Top 200 securities by turnover	10.15	10.29	10.48	9.87
All Securities	23.70	22.12	21.95	18.82
Best depth ($)
Top 200 securities by turnover	660,498.82	366,123.80	543,003.55	440,063.99
All Securities	627,230.17	452,601.69	587,867.60	545,519.92

Figure 1: Market share – December quarter 2021

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 2021

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

Note: BLD is excluded when computing depth metrics in July 2021