Equity market data for quarter ending March 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 March quarter data

In the March 2021 quarter, ASX accounted for 82.6% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.4% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 83.8%. 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 65.7% in the March quarter from 66.5% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 15.5%, compared to 15.2% in the December quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, decreased to 0.68 in the March quarter from 0.70 in the December quarter (maximum 1.00).

Daily Turnover in the Australian equity market increased by $0.3 billion from the December quarter to an average of $7.9 billion for the March quarter.

The overall order-to-trade ratio decreased from 8.1:1 in the December quarter to 7.9:1 in the March quarter.

Depth of the orderbook across the best bid and ask in the March 2021 quarter reached an average of $467,000 across the largest 200 securities and $599,000 across all securities, compared to $820,000 and $759,000 last quarter, respectively. Dramatically more trading in low price securities, which have much wider spreads in basis points due to minimum price steps, contributed significantly to the increases in average spreads in recent months. Quoted spreads in the March quarter have increased for the top 200 securities by turnover, currently at an average of 17.76 bps from 14.28 bps last quarter. Across all securities, quoted spreads have increased, at 35.11 bps from 28.96 bps last quarter. Effective spreads have increased across the top 200 securities by turnover, at 13.61 bps from 12.47 bps last quarter, and increased across all equity products, at 28.85 bps in the March quarter from 25.06 bps previously.

Table 1: Market characteristics – Average for March 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	1,266,829	63,016	148,355	33,106	469,771	78,693	2,059,773
(market share)	61.5%	3.1%	7.2%	1.6%	22.8%	3.8%	100.0%
Value traded ($ million/day)	3,950.4	1,491.9	455.4	656.8	808.7	575.7	7,938.8
(market share)	49.8%	18.8%	5.7%	8.3%	10.2%	7.3%	100.0%
Order-to-trade ratio	5.9	na	10.6	na	12.7	na	7.9
Average trade size ($/trade)	3,126.1	23,702.8	3,083.9	19,755.1	1,723.0	7,281.4	3,853.1

Table 2: Measures of market concentration

Statistics	Mar 2020	Jan 2021	Feb 2021	Mar 2021
Total market	0.51	0.51	0.46	0.45
Public venues	0.70	0.68	0.67	0.68

Table 3: Measures of market efficiency

Market Efficiency Statistics	Mar 2020	Jan 2021	Feb 2021	Mar 2021
Quoted bid-ask spread (bps)
Top 200 securities by turnover	16.62	17.79	18.70	16.79
All Securities	26.69	35.75	37.08	32.49
Effective bid-ask spread (bps)
Top 200 securities by turnover	12.98	13.54	14.83	12.47
All Securities	20.77	29.51	30.94	26.09
Best depth ($)
Top 200 securities by turnover	165,676.40	326,015.14	636,395.88	438,706.46
All Securities	385,232.65	534,211.19	605,604.13	657,402.62

Figure 1: Market share – March 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 – March 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