Equity market data for quarter ending September 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 September quarter data

In the September 2021 quarter, ASX accounted for 83.0% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.0% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 83.3%. 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 64.1% in the September quarter from 62.7% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 16.7%, compared to 17.0% in the June quarter.

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 September quarter (maximum 1.00).

Daily Turnover in the Australian equity market increased by $1.2 billion from the June quarter to an average of $8.4 billion for the September quarter.

The overall order-to-trade ratio remains at 7.9:1 in the September quarter compared to the June quarter.

Depth of the orderbook across the best bid and ask in the September 2021 quarter reached an average of $1.2 million across the largest 200 securities and $1.1 million across all stocks, compared to $622,000 and $675,000 last quarter, respectively. The significant surge in depth across best bid and ask prices in July 2021 was due to a considerable increase in depth for BLD, which had several takeover offers. Excluding BLD, average depth across the best bid and ask prices in the September 2021 quarter was $607,890 across the largest 200 securities and $638,548 across all securities. Quoted spreads in the September quarter have decreased for the largest 200 securities, currently at an average of 13.65 bps from 13.89 bps last quarter. Across all stocks, quoted spreads have decreased, at 26.21 bps from 29.57 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 9.64 bps from 10.23 bps last quarter, and decreased across all equity products, at 20.52 bps in the September quarter from 24.07 bps previously.

Table 1: Market characteristics – Average for September 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	1,369,983	63,238	110,562	30,060	448,179	74,550	2,096,574
(market share)	65.3%	3.0%	5.3%	1.4%	21.4%	3.6%	100.0%
Value traded ($ million/day)	4,163.5	1,620.2	478.8	747.7	773.5	664.5	8,448.0
(market share)	49.3%	19.2%	5.7%	8.9%	9.2%	7.9%	100.0%
Order-to-trade ratio	5.8	na	14.0	na	13.0	na	7.9
Average trade size ($/trade)	3,036.5	25,494.9	4,314.4	25,314.6	1,721.9	8,865.4	4,019.4

Table 2: Measures of market concentration

Statistics	Sep 2020	Jul 2021	Aug 2021	Sep 2021
Total market	0.48	0.48	0.46	0.46
Public venues	0.70	0.69	0.69	0.69

Table 3: Measures of market efficiency

Market Efficiency Statistics	Sep 2020	Jul 2021	Aug 2021	Sep 2021
Quoted bid-ask spread (bps)
Top 200 securities by turnover	14.85	12.70	13.68	14.57
All Securities	29.68	25.70	25.21	27.71
Effective bid-ask spread (bps)
Top 200 securities by turnover	10.40	9.00	9.57	10.34
All Securities	23.28	20.27	19.47	21.83
Best depth ($)
Top 200 securities by turnover	961,108.24	795,147.79	346,668.58	681,855.87
All Securities	884,884.24	769,614.79	525,527.11	620,504.03

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

Figure 1: Market share – September 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 – September 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