Equity market data for quarter ending March 2023

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 March 2023

In the March 2023 quarter, ASX accounted for 81.6% of the total dollar turnover in equity market products. Cboe accounted for the remaining 18.4% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 82.8%. 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 60.8% in the March quarter from 61.4% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 18.0%, compared to 16.7% 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 0.64 in the March quarter from 0.66 in the December quarter (maximum 1.00).

Daily Turnover in the Australian equity market increased by $77 million from the December quarter to an average of $7.7 billion for the March quarter.

The overall order-to-trade ratio remained unchanged at 9.5:1 in the March quarter.

Depth of the orderbook across the best bid and ask in the March 2023 quarter reached an average of $668,000 across the largest 200 securities and $635,000 across all securities, compared to $597,000 and $568,000 last quarter, respectively. Quoted spreads in the March quarter have decreased for the largest 200 securities, currently at an average of 10.93 bps from 11.29 bps last quarter. Across all securities, quoted spreads have decreased, at 17.63 bps from 18.18 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 9.97 bps from 10.02 bps last quarter, and decreased across all equity products, at 17.05 bps in the March quarter from 17.24 bps previously.

Table 1: Market characteristics – average for March quarter 2023

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Cboe on book	Cboe trade reporting	Total
Number of trades per day	1,035,765	56,968	215,591	39,225	426,646	56,709	1,830,906
(market share)	56.6%	3.1%	11.8%	2.1%	23.3%	3.1%	100.0%
Value traded ($ million/day)	3,318.7	1,639.0	627.4	713.4	745.3	671.7	7,715.6
(market share)	43.0%	21.2%	8.1%	9.2%	9.7%	8.7%	100.0%
Order-to-trade ratio	8.4	na	7.0	na	13.6	na	9.5
Average trade size ($/trade)	3,200.7	28,622.0	2,906.1	17,989.8	1,745.5	11,800.0	4,202.6

Table 2: Measures of market concentration

Statistics	Mar 2022	Jan 2023	Feb 2023	Mar 2023
Total market	0.46	0.43	0.41	0.43
Public venues	0.69	0.63	0.63	0.65

Table 3: Measures of market efficiency

Market Efficiency Statistics	Mar 2022	Jan 2023	Feb 2023	Mar 2023
Quoted bid-ask spread (bps)
Top 200 securities by turnover	12.30	11.69	10.50	10.59
All Securities	20.98	18.42	17.65	16.82
Effective bid-ask spread (bps)
Top 200 securities by turnover	11.15	10.04	9.01	10.87
All Securities	20.29	17.28	16.62	17.25
Best depth ($)
Top 200 securities by turnover	326,513.86	558,768.22	675,712.45	769,716.10
All Securities	402,750.24	526,535.32	641,531.91	736,710.06

Note: BLD in July 2021, SYD in February 2022, and CIM in March 2022 are excluded when computing depth metrics.

Figure 1: Market share – March quarter 2023

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 2023

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 in July 2021, SYD in February 2022, and CIM in March 2022 are excluded when computing depth metrics.