Equity market data for quarter ending June 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).
Summary
Tables
Table 1: Market characteristics – average for June quarter 2024
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – June 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 – June quarter 2024
Figure 10: Effective bid–ask spreads
Equity market data from other quarters
Summary for quarter ending June 2024
In the June 2024 quarter, ASX accounted for 80.5% of the total dollar turnover in equity market products. Cboe accounted for the remaining 19.5% of total dollar turnover. This is an increase in ASX’s market share from last quarter where it was 80.2%. 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 53.4% in the June quarter from 55.7% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 21.9%, compared to 19.9% in the March quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, remained at 0.64 in the June quarter (maximum 1.00).
Daily Turnover in the Australian equity market increased by $0.2 billion from the March quarter to an average of $7.9 billion for the June quarter.
The overall order-to-trade ratio decreased from 9.0:1 in the March quarter to 8.8:1 in the June quarter.
Depth of the orderbook across the best bid and ask in the June 2024 quarter reached an average of $939,000 across the largest 200 securities and $892,000 across all securities, compared to $826,000 and $781,000 last quarter, respectively. Quoted spreads in the June quarter have increased for the largest 200 securities, currently at an average of 11.30 bps from 10.52 bps last quarter. Across all securities, quoted spreads have increased, at 20.28 bps from 17.28 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 9.75 bps from 10.41 bps last quarter, and increased across all equity products, at 17.94 bps in the June quarter from 17.88 bps previously.
Table 1: Market characteristics – average for June quarter 2024
| Statistics | ASX on book | ASX Auctions | ASX Centre Point | ASX trade reporting | Cboe on book | Cboe trade reporting | Total | Change from previous quarter |
|---|---|---|---|---|---|---|---|---|
| Number of trades per day | 1,184,064 | 65,818 | 251,776 | 48,825 | 497,707 | 77,674 | 2,125,865 | ▲ |
| (market share) | 55.7% | 3.1% | 11.8% | 2.3% | 23.4% | 3.7% | 100.0% | |
| Value traded ($ million/day) | 2,896.3 | 1,947.5 | 555.1 | 939.5 | 756.1 | 782.7 | 7,877.2 | ▲ |
| (market share) | 36.8% | 24.7% | 7.0% | 11.9% | 9.6% | 9.9% | 100.0% | |
| Order-to-trade ratio | 8.0 | na | 6.5 | na | 12.1 | na | 8.8 | ▼ |
| Average trade size ($/trade) | 2,451.3 | 29,546.4 | 2,207.2 | 19,210.5 | 1,522.2 | 10,078.7 | 3,705.5 |
Table 2: Measures of market concentration
| Statistics | Jun 2023 | Apr 2024 | May 2024 | Jun 2024 | Change from previous quarter |
|---|---|---|---|---|---|
| Total market | 0.46 | 0.39 | 0.40 | 0.40 | ▲ |
| Public venues | 0.67 | 0.62 | 0.65 | 0.65 | ▲ |
Table 3: Measures of market efficiency
| Market Efficiency Statistics | Jun 2023 | Apr 2024 | May 2024 | Jun 2024 | Change from previous quarter |
|---|---|---|---|---|---|
| Quoted bid-ask spread (bps) | |||||
| Top 200 securities by turnover | 12.19 | 11.45 | 11.13 | 11.32 | ▲ |
| All Securities | 21.44 | 20.43 | 20.49 | 19.90 | ▲ |
| Effective bid-ask spread (bps) | |||||
| Top 200 securities by turnover | 10.51 | 10.01 | 9.54 | 9.70 | ▼ |
| All Securities | 18.92 | 18.39 | 17.98 | 17.46 | ▲ |
| Best depth ($) | |||||
| Top 200 securities by turnover | 837,336.70 | 1,116,229.70 | 929,931.97 | 771,613.47 | ▲ |
| All Securities | 779,907.51 | 1,027,770.10 | 900,144.45 | 748,507.27 | ▲ |
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 – June 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 – June 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 Mar 2022 and MCR in Q2 2023 are excluded when computing depth metrics.