Equity market data for quarter ending December 2014

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 of December quarter data

In the December quarter 2014, the ASX accounted for 82.5% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.5% 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. Chi-X trade reporting fell by 7% over the past quarter, while ASX trade reporting fell by just under 15% compared to the previous quarter.

Overall daily turnover in the equity market averaged $4.9 billion in the December quarter unchanged from the previous quarter. The weighted average quoted bid-ask spread for securities in the ASX200 index decreased marginally to 13.9 basis points of the midpoint price in the December quarter. Similarly, the weighted average quoted bid-ask spread for all securities decreased to 21.3 basis points of the midpoint price.

The Herfindahl index increased across the public order book and broker crossings during the quarter, showing a reduction in market fragmentation. Intraday and interday volatility trended higher in the quarter, peaking in December at the highest levels since June 2013.  The overall order-to-trade ratio decreased to 8.1:1 in the quarter as both the ASX and Chi-X reported lower ratios.

Below block size dark liquidity represented 12% of total value traded in the December quarter, unchanged from the previous quarter, and above its share of the market a year prior (11%). Turnover in block size dark liquidity was 15% of total value traded, unchanged from the previous quarter.

Table 1 - Market characteristics - average for December 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)	606,550 (67.0%)	24,877 (2.7%)	67,763 (7.5%)	10,909 (1.2%)	142,567 (15.7%)	53,184 (5.9%)	905,851 (100.0%)
Value traded, $ million/day (market share)	2,537.1 (52.1%)	721.0 (14.8%)	278.3 (5.7%)	479.0 (9.8%)	401.6 (8.2%)	451.6 (9.3%)	4,868.6 (100.0%)
Order-to-trade ratio	6.1	na	na	na	16.8	na	8.1
Average trade size, $/trade	4,183	29,097	4,133	50,373	2,807	8,672	5,380

Table 2 - Measures of market concentration

Statistics	December 2013	October 2014	November 2014	December 2014
Total market Herfindahl index	0.44	0.43	0.45	0.50
Public venues Herfindahl index	0.71	0.68	0.69	0.74

Table 3 - Measures of market efficiency

Statistics	December 2013	October 2014	November 2014	December 2014
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	21.9 15.3	21.4 13.7	21.0 13.4	21.7 14.7
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	19.5 13.3	17.9 11.0	17.8 11.1	18.1 12.1
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	4.9 3.5	6.0 3.3	5.1 3.1	6.1 2.5

Figure 1: Market share - December quarter 2014

 

 

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 - December quarter 2014

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