Equity market data for quarter ending June 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 of June quarter data

In the June 2021 quarter, ASX accounted for 83.3% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.7% of total dollar turnover. This is an increase in ASX’s market share from last quarter where it was 82.6%. 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 62.7% in the June quarter from 65.7% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 17.0%, compared to 15.5% 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 0.69 in the June quarter from 0.68 in the March quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $0.7 billion from the March quarter to an average of $7.3 billion for the June quarter.

The overall order-to-trade ratio is unchanged, at approximately 7.9:1 in both the March and June quarters.

Depth of the orderbook across the best bid and ask in the June 2021 quarter reached an average of $622,000 across the top 200 securities by turnover and $675,000 across all stocks, compared to $467,000 and $599,000 last quarter, respectively. Quoted spreads in the June quarter have decreased for the top 200 securities by turnover, currently at an average of 13.89 bps from 17.76 bps last quarter. Across all securities, quoted spreads have decreased, at 29.57 bps from 35.11 bps last quarter. Effective spreads have decreased across the top 200 securities by turnover, at 10.23 bps from 13.61 bps last quarter, and decreased across all equity products, at 24.07 bps in the June quarter from 28.85 bps previously.

Table 1: Market characteristics – Average for June 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	1,225,956	60,426	116,250	32,519	430,447	77,165	1,942,764
(market share)	63.1%	3.1%	6.0%	1.7%	22.2%	4.0%	100.0%
Value traded ($ million/day)	3,494.6	1,479.5	398.8	683.7	664.1	548.8	7,269.5
(market share)	48.1%	20.4%	5.5%	9.4%	9.1%	7.5%	100.0%
Order-to-trade ratio	5.9	na	12.3	na	12.7	na	7.9
Average trade size ($/trade)	2,851.0	24,516.0	3,430.9	21,036.0	1,543.8	7,162.2	3,742.7

Table 2: Measures of market concentration

Statistics	Jun 2020	Apr 2021	May 2021	Jun 2021
Total market	0.51	0.46	0.48	0.47
Public venues	0.72	0.68	0.70	0.70

Table 3: Measures of market efficiency

Market Efficiency Statistics	Jun 2020	Apr 2021	May 2021	Jun 2021
Quoted bid-ask spread (bps)
Top 200 securities by turnover	15.01	15.35	13.62	12.71
All Securities	24.80	33.11	29.28	26.31
Effective bid-ask spread (bps)
Top 200 securities by turnover	11.02	11.45	10.06	9.19
All Securities	19.27	27.34	23.77	21.11
Best depth ($)
Top 200 securities by turnover	294,249.13	383,742.64	674,430.36	809,021.45
All Securities	454,851.21	633,343.13	636,378.00	754,592.34

Figure 1: Market share – June 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 – June 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