Equity market data for quarter ending June 2015
For an explanation of the measures used in this release, see Information Sheet 177听Quarterly cash equity market data: Methodology and definitions听(INFO 177).
Summary
Tables
Table 1 - Market characteristics - average for June quarter
Table 2 - Measures of market concentration
Table 3 - Measures of market efficiency
Graphs
Figure 1: Market share - June quarter 2015
Figure 2: Australia - 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
Figure 10: Effective bid-ask spreads
Figure 11: Quoted bid-ask spreads
Figure 12: Depth at five price steps as basis points of issued securities
听
Equity market data from other quarters
Summary of June quarter data听
In the June quarter 2015, the ASX accounted for 82.0% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 18.0% of total dollar turnover. 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 as a proportion of total dollar turnover rose to 62.4% in the June quarter, compared to 60.2% in the March quarter. Conversely, trade reporting turnover as a proportion of total dollar turnover fell by 2.3 percentage points to 17.6% over the quarter.
Overall daily turnover in the equity market averaged $5.8 billion in the June quarter, an increase from $5.5 billion in the March quarter and $4.6 billion in the June quarter 2014. The weighted average quoted bid-ask spread for securities in the ASX 200 index fell slightly to 13.3 basis points of the midpoint price in the quarter. The weighted average quoted bid-ask spread for all securities decreased slightly to 20.3 basis points of the midpoint price.
Below block size dark liquidity represented 12.0% of total value traded in the June quarter, up 0.4 percentage points from the previous quarter, roughly equal to its share of the market a year prior (12.2%). Turnover in block size dark liquidity was 14.1% of total value traded, down 0.9 percentage points from the previous quarter.
Intraday volatility remained steady at a slightly elevated level, while the weighted average interday volatility for the S&P/ASX 200 index eased slightly in the quarter to around 1.6% after peaking at 1.9% in December 2014. The overall order-to-trade ratio increased to 8.1:1 in the quarter as the ASX reported a higher ratio that was partly offset by a lower ratio on Chi-X.听
Table 1 - Market characteristics - average for June quarter
| Statistics |
ASX on-order听
book |
ASX auctions
|
ASX Centre Point
|
ASX trade听
reporting |
Chi-X on-order听
book |
Chi-X trade reporting
|
Total
|
|---|---|---|---|---|---|---|---|
| Number of trades per day (market share) |
684,075
(65.9%) |
28,212
(2.7%) |
64,830
(6.2%) |
8,375
(0.8%) |
201,533
(19.4%) |
50,388
(4.9%) |
1,037,413
(100.0%)
|
| Value traded, $ million/day (market share) |
3,063.4
(53.2%) |
839.1
(14.6%) |
310.7
(5.4%) |
507.6
(8.8%) |
529.3
(9.2%)
|
508.5
(8.8%) |
5,758.6
(100.0%) |
| Order-to-trade ratio |
6.5
|
na
|
na
|
na
|
13.8
|
na
|
8.1
|
| Average trade size, $/trade |
4,484
|
29,689
|
4,802
|
60,775
|
2,630
|
10,121
|
5,554
|
Table 2 - Measures of market concentration
|
Statistics |
June 2014 |
April 2015 |
May 2015 |
June 2015 |
|---|---|---|---|---|
|
Total market Herfindahl index |
0.41 |
0.48 |
0.47 |
0.47 |
|
Public venues Herfindahl index |
0.71 |
0.70 |
0.69 |
0.69 |
Table 3 - Measures of market efficiency
| Statistics |
June 2014
|
April 2015
|
May 2015
|
June 2015
|
|---|---|---|---|---|
| Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks |
21.1
14.1
|
20.3
13.1
|
20.1
12.8
|
20.5
14.0 |
| Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks |
19.0
11.8
|
17.2
10.6
|
16.8
10.4
|
17.0
11.2
|
| Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks |
8.7
8.5
|
8.1
5.8
|
8.7
6.0
|
5.1
3.2
|
Figure 1: Market share - June quarter 2015
Figure 2: Australia - 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
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 five price steps as basis points of issued securities
