Equity market data for quarter ending September 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 September 2024

In the September 2024 quarter, ASX accounted for 79.7% of the total dollar turnover in equity market products. Cboe accounted for the remaining 20.3% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 80.5%. 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 55.2% in the September quarter from 53.4% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 20.5%, compared to 21.9% in the June quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, increased to 0.65 in the September quarter from 0.64 in the June quarter (maximum 1.00).

Daily Turnover in the Australian equity market increased by $0.4 billion from the June quarter to an average of $8.3 billion for the September quarter.

The overall order-to-trade ratio increased from 8.8:1 in the June quarter to 9.3:1 in the September quarter.

Depth of the orderbook across the best bid and ask in the September 2024 quarter reached an average of $661,000 across the largest 200 securities and $642,000 across all securities, compared to $939,000 and $892,000 last quarter, respectively. Quoted spreads in the September quarter have increased for the largest 200 securities, currently at an average of 11.70 bps from 11.30 bps last quarter. Across all securities, quoted spreads have decreased, at 19.52 bps from 20.28 bps last quarter. Effective spreads have increased across the largest 200 securities, at 10.16 bps from 9.75 bps last quarter, and decreased across all equity products, at 17.16 bps in the September quarter from 17.94 bps previously.

Table 1: Market characteristics – average for September 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	1,273,760	65,973	244,426	50,727	531,166	84,502	2,250,555	▲
(market share)	56.6%	2.9%	10.9%	2.3%	23.6%	3.8%	100.0%
Value traded ($ million/day)	3,207.2	2,022.2	553.2	848.0	833.2	860.1	8,323.9	▲
(market share)	38.5%	24.3%	6.6%	10.2%	10.0%	10.3%	100.0%
Order-to-trade ratio	8.2	na	7.4	na	12.9	na	9.3	▲
Average trade size ($/trade)	2,519.7	30,545.5	2,258.0	16,670.9	1,568.7	10,152.3	3,690.8	▼

Table 2: Measures of market concentration

Statistics	Sep 2023	Jul 2024	Aug 2024	Sep 2024	Change from previous quarter
Total market	0.45	0.42	0.41	0.42	▲
Public venues	0.66	0.64	0.65	0.65	▲

Table 3: Measures of market efficiency

Market Efficiency Statistics	Sep 2023	Jul 2024	Aug 2024	Sep 2024	Change from previous quarter
Quoted bid-ask spread (bps)
Top 200 securities by turnover	14.13	11.27	11.77	12.07	▲
All Securities	22.74	20.05	19.28	19.23	▼
Effective bid-ask spread (bps)
Top 200 securities by turnover	12.05	9.80	10.25	10.44	▲
All Securities	19.75	17.69	16.93	16.85	▼
Best depth ($)
Top 200 securities by turnover	905,546.95	787,068.01	634,493.06	561,702.53	▼
All Securities	852,203.52	757,631.87	618,297.16	549,970.71	▼

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 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 – September 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.