ASIC has published equity market data for the quarter ending June 2013.
In the June quarter 2013, the ASX accounted for around 88% of the total value traded in equity market products. Chi-X accounted for the remaining 12%. These figures include trades executed off order book and reported through either market operator.
For an explanation of the measures used in this release, see Information Sheet 177Quarterly cash equity market data: Methodology and definitions (INFO 177).
Summary
Summary of June quarter data
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 2013
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
Equity market data from other quarters
Summary of June quarter data
In the June quarter 2013, the ASX accounted for around 88% of the total value traded in equity market products. Chi-X accounted for the remaining 12%. These figures include trades executed off order book and reported through either market operator.
Overall turnover averaged $5.2 billion traded per day. The average trade size was $4,900 – considerably lower than the levels seen in previous years. The average quoted bid-ask spread among the most liquid securities (those comprising the ASX 200 index) remained broadly unchanged over the past two years, at 15 basis points of the midpoint price. Average spreads for the whole equity market have declined somewhat in recent times.
The commencement of Chi-X in October 2011 saw an increase in the overall order-to-trade ratio to a peak of around 10:1 before the end of that year. This trend was reversed over 2012 and subsequently reached 7.5:1 in the June quarter 2013.
Table 1 – Market characteristics – average for June 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 | 729,466 | 25,078 | 75,801 | 35,907 | 118,208 | 73,910 | 1,058,370 |
| (market share) | (68.9%) | (2.4%) | (7.2%) | (3.4%) | (11.2%) | (7.0%) | (100.0%) |
| Value traded, $ million/day |
2,948.0 | 645.8 | 181.2 | 813.9 | 307.7 | 313.5 | 5,210.0 |
| (market share) | (56.6%) | (12.4%) | (3.5%) | (15.6%) | (5.9%) | (6.0%) | (100.0%) |
| Order-to-trade ratio | 6.0 | na | na | na | 17.2 | na | 7.5 |
| Average trade size ($/trade) | 4,050 | 25,717 | 2,400 | 25,401 | 2,613 | 4,298 | 4,927 |
Table 2 – Measures of market concentration
| Statistics | Jun 12 | Apr 13 | May 13 | Jun 13 |
| Total market Herfindahl index | 0.55 | 0.47 | 0.47 | 0.52 |
| Public venues Herfindahl index | 0.89 | 0.79 | 0.78 | 0.78 |
Table 3 – Measures of market efficiency
| Statistics | Jun 12 | Apr 13 | May 13 | Jun 13 |
| Quoted bid–ask spread, bps | ||||
| – All stocks | 24.5 | 21.6 | 20.7 | 21.3 |
| – S&P/ASX 200 stocks | 17.2 | 15.4 | 15.1 | 15.6 |
| Effective bid–ask spread, bps | ||||
| – All stocks | 22.4 | 19.4 | 18.5 | 19.0 |
| – S&P/ASX 200 stocks | 15.8 | 13.9 | 13.5 | 13.9 |
| Depth at best 5 price steps, bps | ||||
| – All stocks | 6.6 | 8.0 | 5.9 | 3.8 |
| – S&P/ASX 200 stocks | 4.4 | 6.9 | 5.0 | 3.1 |
Figure 1: Market share – June quarter 2013
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– June quarter 2013
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
