Equity market data for quarter ending September 2020

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 2020 quarter, ASX accounted for 83.9% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.1% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 85.5%. 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 67.6% in the September quarter from 66.6% in the June quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 15.4%, compared to 13.8% in the June quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, decreased to 0.71 in the September quarter from 0.72 in the June quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $1.2 billion from the June quarter to an average of $7.8 billion for the September quarter.

The overall order-to-trade ratio increased from 7.5:1 in the June quarter to 8.2:1 in the September quarter.

Depth of the orderbook across the best bid and ask has grown substantially over September, with an average of $780,000 across the largest 200 securities and $747,000 across all stocks, compared to $248,000 and $380,000 last quarter, respectively. Further, quoted and effective spreads on the largest 200 securities have tightened, with quoted spreads at an average of 14.33 bps compared with 15.51 bps over the September quarter, and effective spreads at an average of 10.29 bps compared with 11.66 bps. Average spreads across all securities have widened, at 28.99 bps quoted and 23.01 bps effective in the September quarter, up from 25.67 bps quoted and 18.47 bps effective in the June quarter.

Table 1: Market characteristics – Average for September quarter 2020

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Chi-X on book	Chi-X trade reporting	Total
Number of trades per day	1,253,439.6	58,054.8	125,748.7	15,149.9	428,502.4	82,071.1	1,962,967.5
(market share)	63.9%	3.0%	6.4%	0.8%	21.8%	4.2%	100.0%
Value traded, $ million/day	4,169.1	1,336.6	406.9	647.4	707.8	551.9	7,819.6
(market share)	53.3%	17.1%	5.2%	8.3%	9.1%	7.1%	100.0%
Order-to-trade ratio	6.3	na	9.5	na	13.5	na	8.2
Average trade size ($/trade)	3,326.0	22,936.2	3,243.4	43,194.2	1,652.8	6,799.9	3,979.0

Table 2: Measures of market concentration

Statistics	Sep 2019	Jul 2020	Aug 2020	Sep 2020
Total market	0.41	0.52	0.49	0.48
Public venues	0.70	0.72	0.70	0.70

Table 3: Measures of market efficiency

Market Efficiency Statistics	Sep 2019	Jul 2020	Aug 2020	Sep 2020
Quoted bid-ask spread, bps
Largest 200 Stocks	12.34	14.21	13.94	14.85
All Securities	20.35	29.67	27.62	29.68
Effective bid-ask spread, bps
Largest 200 Stocks	9.27	10.41	10.07	10.40
All Securities	16.14	23.71	22.04	23.28
Best depth, $
Largest 200 Stocks	414,524.40	603,758.51	788,742.42	961,108.24
All Securities	617,572.63	573,505.65	785,186.07	884,884.24

Figure 1: Market share – September quarter 2020

Figure 2: 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 2020

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 best bid and ask prices