Equity market data for quarter ending September 2016
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 鈥� average for September quarter
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share 鈥� September quarter 2016
Figure 2: Australia 鈥� 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 鈥� September quarter 2016
Figure 10: Effective bid鈥揳sk spreads
Figure 11: Quoted bid鈥揳sk spreads
Figure 12: Depth at five price steps as basis points of issued securities
Equity market data from other quarters
Summary of September quarter data
In the September quarter 2016, ASX accounted for 81.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 18.5% 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 (excluding ASX auctions) as a proportion of total dollar turnover declined to 66.6% in the September quarter, from 68.3% in the June quarter. This was driven by a fall in ASX on-order book daily turnover from $3.0 billion to $2.8 billion. Trade reporting turnover as a proportion of total dollar turnover increased by 1.6 percentage points (ppts) to 18.3% over the quarter.
Overall daily turnover in the equity market averaged $5.6 billion in the September quarter, slightly below $5.7 billion in both the June quarter and the September quarter 2015.
Turnover in block size dark liquidity rose by 2 ppts to 14.6% of total value traded over the quarter. Below block size dark liquidity increased more moderately to 13.0% of total value traded in the September quarter, compared to 12.6% in the June quarter.
Intraday and interday volatility continued to ease from peaks seen in February 2016. The weighted average interday volatility for the S&P/ASX 200 index was 1.6% in the quarter, down from 1.9% in the previous quarter.
The weighted average quoted bid鈥揳sk spread for securities in the S&P/ASX 200 index is near historical lows after falling by 0.4 basis points (bps) to 13.4 bps of the midpoint price over the quarter. The quoted bid-ask spread also declined by 0.8 bps to 23.6 bps of the midpoint price for all securities. The overall order-to-trade ratio decreased to 7.5:1 in the quarter driven largely by a fall in Chi-X鈥檚 ratio.
Table 1: Market characteristics - average for听September quarter
| Statistics |
ASX on-order book
|
ASX auctions
|
ASX Centre Point
|
ASX trade reporting
|
Chi-X on-order book
|
Chi-X trade reporting
|
Total
|
|---|---|---|---|---|---|---|---|
| Number of trades per day (market share) |
795,969(61.7%)
|
34,016 (2.6%)
|
134,341(10.4%)
|
15,388(1.2%)
|
266,466 (20.7%)
|
42,925(3.3%)
|
1,289,115 (100.0%)
|
| Value traded, $ million/day (market share) |
2,819.7(50.0%)
|
854.2 (15.1%)
|
392.3 (6.9%)
|
536.3(9.5%)
|
546.6 (9.7%)
|
495.6 (8.8%)
|
5,644.7 (100.0%)
|
| Order-to-trade ratio |
6.3
|
na
|
na
|
na
|
11.2
|
na
|
7.5
|
| Average trade size, $/trade |
3,542
|
25,067
|
2,915
|
36,785
|
2,054
|
11,563
|
4,376
|
Table 2: Measures of market concentration
|
Statistics |
September 2015 |
July 2016 |
August 2016 |
September 2016 |
|---|---|---|---|---|
|
Total market Herfindahl index |
0.48 |
0.46 |
0.43 |
0.40 |
|
Public venues Herfindahl index |
0.70 |
0.66 |
0.65 |
0.65 |
Table 3: Measures of market efficiency
| Statistics |
September 2015
|
July 2016
|
August 2016
|
September 2016
|
|---|---|---|---|---|
|
Quoted bid-ask spread, bps |
20.8
14.8 |
24.3
13.4 |
23.7
13.4 |
22.9
13.4 |
| Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks |
17.2
12.0 |
19.4
9.8 |
18.8
9.8 |
18.3
10.1 |
| Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks |
5.0
2.6 |
6.9
2.2 |
6.6
2.2 |
6.4
2.3 |
Figure 1: Market share - September quarter 2016
听
Figure 2: Australia - Average daily turnover
听
Figure 3: Average trade size by execution venue
听
Figure 4: Dark liquidity proportion of total value traded
听
Figure 5: Order-to-trade ratio
听
Figure 6: Intraday trading profile - September quarter 2016
听
Figure 7: Intraday volatility
听
Figure 8: Interday volatility
听
Figure 9: Herfindahl index
听
Figure 10: Effective bid-ask spreads
听
Figure 11: Quoted bid-ask spreads
听
Figure 12: Depth at five price steps as basis points of issued securities
听
听