Equity market data for quarter ending December 2024

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 December 2024

In the December 2024 quarter, ASX accounted for 79.6% of the total dollar turnover in equity market products. Cboe accounted for the remaining 20.4% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 79.7%. 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 55.9% in the December quarter from 55.2% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 18.8%, compared to 20.5% in the September quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, remained at 0.65 in the December quarter compared to the September quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $0.6 billion from the September quarter to an average of $7.7 billion for the December quarter.

The overall order-to-trade ratio increased from 9.3:1 in the September quarter to 9.4:1 in the December quarter.

Depth of the orderbook across the best bid and ask in the December 2024 quarter reached an average of $465,000 across the largest 200 securities and $479,000 across all securities, compared to $661,000 and $642,000 last quarter, respectively. Quoted spreads in the December quarter have decreased for the largest 200 securities, currently at an average of 9.78 bps from 11.70 bps last quarter. Across all securities, quoted spreads have decreased, at 16.96 bps from 19.52 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 9.90 bps from 10.16 bps last quarter, and increased across all equity products, at 17.66 bps in the December quarter from 17.16 bps previously.

Table 1: Market characteristics – average for December quarter 2024

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Cboe on book	Cboe trade reporting	Total	Change from previous quarter
Number of trades per day	1,223,070	63,621	235,885	43,864	510,700	73,331	2,150,478	▼
(market share)	56.9%	3.0%	11.0%	2.0%	23.7%	3.4%	100.0%
Value traded ($ million/day)	3,015.0	1,948.6	514.3	659.1	780.7	791.0	7,708.7	▼
(market share)	39.1%	25.3%	6.7%	8.5%	10.1%	10.3%	100.0%
Order-to-trade ratio	8.3	na	8.0	na	12.9	na	9.4	▲
Average trade size ($/trade)	2,464.4	30,626.1	2,179.1	15,030.9	1,530.7	10,853.0	3,586.7	▼

Table 2: Measures of market concentration

Statistics	Dec 2023	Oct 2024	Nov 2024	Dec 2024	Change from previous quarter
Total market	0.41	0.45	0.43	0.42	▲
Public venues	0.63	0.65	0.65	0.65	▲

Table 3: Measures of market efficiency

Market Efficiency Statistics	Dec 2023	Oct 2024	Nov 2024	Dec 2024	Change from previous quarter
Quoted bid-ask spread (bps)
Top 200 securities by turnover	11.03	10.18	9.52	9.63	▼
All Securities	17.57	18.25	16.54	16.10	▼
Effective bid-ask spread (bps)
Top 200 securities by turnover	10.64	10.15	9.65	9.89	▼
All Securities	17.89	18.65	17.26	17.05	▲
Best depth ($)
Top 200 securities by turnover	897,304.18	448,513.75	434,181.64	511,875.71	▼
All Securities	863,500.97	446,728.75	423,252.11	566,092.25	▼

Note: BLD in July 2021, SYD in February 2022, CIM in March 2022 and MCR in Q2 2023 are excluded when computing depth metrics.

Figure 1: Market share – December quarter 2024

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 – December quarter 2024

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 March 2022 and MCR in Q2 2023 are excluded when computing depth metrics.