Equity market data for quarter ending March 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).

 

Equity market data from other quarters

Summary of March quarter data

In the March quarter 2016, the ASX accounted for 83.0% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 17.0% 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 (excluding ASX auctions) as a proportion of total dollar turnover increased to 68.3% in the March quarter 2016, compared to 67.3% in the December quarter 2015. Conversely, trade reporting turnover as a proportion of total dollar turnover decreased by 1.2 percentage points (ppts) to 16.7% over the quarter.

Overall daily turnover in the equity market averaged $5.7 billion in the March quarter 2016, a rise from $5.3 billion in the December 2015 quarter, and an increase from $5.5 billion in the March quarter 2015.

Intraday and interday volatility remained at elevated levels, rising above the peak seen in August 2015. The weighted average interday volatility for the S&P/ASX 200 index was 2.1% in the quarter, up from 1.8% in the previous quarter.

The weighted average quoted bid-ask spread for securities in the S&P/ASX 200 index rose by 0.3 basis points (bps) to 14.8 bps of the midpoint price in the quarter and rose by 0.3 bps to 23.5 bps of the midpoint price for all securities. The overall order-to-trade ratio increased slightly to 8.3:1 in the quarter driven by increases on both Chi-X and ASX. Below block size dark liquidity represented 11.6% of total value traded in the March quarter 2016, up 0.5 ppts from the previous quarter, and higher than its share a year prior (11.3%). Turnover in block size dark liquidity was 12.5% of total value traded, down 1.6 ppts from the previous quarter.

Table 1 - Market characteristics - average for March 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)	885,109  (67.6%)	30,628  (2.4%)	88,635  (7.0%)	14,306  (1.1%)	225,182  (17.8%)	51,642  (4.1%)	1,265,509  (100.0%)
Value traded, $ million/day (market share)	3,046.1  (53.8%)	852.0  (15.0%)	308.9 (5.5%)	494.6  (8.7%)	512.4  (9.0%)	449.2  (9.3%)	5,633.2 (100.0%)
Order-to-trade ratio	6.8	na	na	na	14.5	na	8.3
Average trade size, $/trade	3,560	27,771	3,477	34,302	2,289	8,663	4,468

Table 2 - Measures of market concentration

Statistics	March 2015	January 2016	February 2016	March 2016
Total market Herfindahl index	0.44	0.54	0.46	0.45
Public venues Herfindahl index	0.71	0.71	0.69	0.69

Table 3 - Measures of market efficiency

Statistics	March 2015	January 2016	February 2016	March 2016
Quoted bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	21.4 13.9	23.1 14.9	23.1 14.7	24.2 14.8
Effective bid-ask spread, bps - All stocks - S&P/ASX 200 stocks	18.0 11.4	19.0 11.7	18.7 11.3	19.1 11.2
Depth at best 5 price steps - all stocks, bps - All stocks - S&P/ASX 200 stocks	10.0 6.5	7.1 2.7	7.4 2.9	9.0 2.6

Figure 1: Market share - March quarter 2016

 

 

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 - March quarter 2016

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