Equity market data for quarter ending September 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).
Summary
Summary of September quarter data
Tables
Table 1: Market characteristics – average for September quarter 2023
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – September 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 – September quarter 2023
Figure 10: Effective bid–ask spreads
Equity market data from other quarters
Equity market data for quarter ending September 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).
Summary for quarter ending September 2023
In the September 2023 quarter, ASX accounted for 84.0% of the total dollar turnover in equity market products. Cboe accounted for the remaining 16.0% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 86.0%. 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 58.5% in the September quarter from 58.9% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 18.0%, compared to 17.1% in the June quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, remained at 0.66 in the September quarter (maximum 1.00).
Daily Turnover in the Australian equity market decreased by $0.1 billion from the June quarter to an average of $7.1 billion for the September quarter.
The overall order-to-trade ratio decreased from 9.6:1 in the June quarter to 9.1:1 in the September quarter.
Depth of the orderbook across the best bid and ask in the September 2023 quarter reached an average of $825,000 across the largest 200 securities and $773,000 across all securities, compared to $837,000 and $788,000 last quarter, respectively. Quoted spreads in the September quarter have increased for the largest 200 securities, currently at an average of 13.07 bps from 12.39 bps last quarter. Across all securities, quoted spreads have increased, at 22.12 bps from 21.79 bps last quarter. Effective spreads have increased across the largest 200 securities, at 12.17 bps from 10.73 bps last quarter, and increased across all equity products, at 20.23 bps in the September quarter from 19.30 bps previously.
Table 1: Market characteristics – Average for September quarter 2023
| Statistics | ASX on book | ASX Auctions | ASX Centre Point | ASX trade reporting | Cboe on book | Cboe trade reporting | Total |
|---|---|---|---|---|---|---|---|
| Number of trades per day | 1,017,171 | 60,092 | 218,703 | 42,161 | 386,618 | 74,667 | 1,799,412 |
| (market share) | 56.5% | 3.3% | 12.2% | 2.3% | 21.5% | 4.1% | 100.0% |
| Value traded ($ million/day) | 3,009.6 | 1,678.6 | 524.1 | 785.5 | 647.9 | 497.5 | 7,143.2 |
| (market share) | 42.1% | 23.5% | 7.3% | 11.0% | 9.1% | 7.0% | 100.0% |
| Order-to-trade ratio | 8.4 | na | 6.3 | na | 12.7 | na | 9.1 |
| Average trade size ($/trade) | 2,962.8 | 27,901.9 | 2,396.9 | 18,587.4 | 1,675.9 | 6,662.5 | 3,970.2 |
Table 2: Measures of market concentration
| Statistics | Sep 2022 | Jul 2023 | Aug 2023 | Sep 2023 |
|---|---|---|---|---|
| Total market | 0.48 | 0.46 | 0.43 | 0.45 |
| Public venues | 0.68 | 0.66 | 0.66 | 0.66 |
Table 3: Measures of market efficiency
| Market Efficiency Statistics | Sep 2022 | Jul 2023 | Aug 2023 | Sep 2023 |
|---|---|---|---|---|
| Quoted bid-ask spread (bps) | ||||
| Top 200 securities by turnover | 14.86 | 11.78 | 13.30 | 14.13 |
| All Securities | 24.11 | 21.44 | 22.16 | 22.74 |
| Effective bid-ask spread (bps) | ||||
| Top 200 securities by turnover | 11.42 | 13.19 | 11.27 | 12.05 |
| All Securities | 19.35 | 21.65 | 19.28 | 19.75 |
| Best depth ($) | ||||
| Top 200 securities by turnover | 566,170.82 | 823,976.26 | 746,224.63 | 905,546.95 |
| All Securities | 543,816.67 | 764,025.63 | 703,339.02 | 852,203.52 |
Note: BLD in July 2021, SYD in February 2022, CIM in Mar 2022 and MCR in Q2 2023 are excluded when computing depth metrics.
Figure 1: Market share – September 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 – September 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, CIM in Mar 2022 and MCR in Q2 2023 are excluded when computing depth metrics.