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).

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–ask 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’s ratio.

Table 1: Market characteristics - average for 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 - All stocks - S&P/ASX 200 stocks	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

 

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 - September 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