Equity market data for quarter ending June 2022

For an explanation of the measures used in this release, see Information Sheet 177 Quarterly cash equity market data: Methodology and definitions (INFO 177).

Summary

Summary of June quarter data

Tables

Table 1: Market characteristics – average for June quarter 2022

Table 2: Measures of market concentration

Table 3: Measures of market efficiency

Graphs

Figure 1: Market share – June quarter 2022

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 – June quarter 2022

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

Equity market data from other quarters

Summary for Quarter Ending June 2022

In the June 2022 quarter, ASX accounted for 82.8% of the total dollar turnover in equity market products. Cboe accounted for the remaining 17.2% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 83.7%. 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 62.1% in the June quarter from 59.8% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 16.4%, compared to 18.5% in the March quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, decreased to 0.68 in the June quarter from 0.70 in the March quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $1.6 billion from the March quarter to an average of $8.9 billion for the June quarter.

The overall order-to-trade ratio decreased from 8.7:1 in the March quarter to 8.5:1 in the June quarter.

Depth of the orderbook across the best bid and ask in the June 2022 quarter reached an average of $937,000 across the largest 200 securities and $862,000 across all securities, compared to $723,000 and $719,000 last quarter, respectively. Quoted spreads in the June quarter have increased for the largest 200 securities, currently at an average of 14.91 bps from 11.40 bps last quarter. Across all securities, quoted spreads have increased, at 26.88 bps from 19.78 bps last quarter. Effective spreads have increased across the largest 200 securities, at 11.80 bps from 10.23 bps last quarter, and increased across all equity products, at 22.03 bps in the June quarter from 19.01 bps previously.

Table 1: Market Characteristics – Average for June Quarter 2022

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Cboe on book	Cboe trade reporting	Total
Number of trades per day	1,477,210	69,943	144,786	32,042	535,561	78,913	2,338,459
(market share)	63.2%	3.0%	6.2%	1.4%	22.9%	3.4%	100.0%
Value traded ($ million/day)	4,113.6	1,907.7	541.6	768.1	841.6	680.8	8,853.4
(market share)	46.5%	21.5%	6.1%	8.7%	9.5%	7.7%	100.0%
Order-to-trade ratio	6.5	na	11.2	na	13.8	na	8.5
Average trade size ($/trade)	2,787.9	27,289.6	3,738.2	23,986.1	1,578.6	8,639.9	3,785.3

Table 2: Measures of market concentration

Statistics	Jun 2021	Apr 2022	May 2022	Jun 2022
Total market	0.47	0.47	0.47	0.46
Public venues	0.70	0.67	0.68	0.68

Table 3: Measures of market efficiency

Market Efficiency Statistics	Jun 2021	Apr 2022	May 2022	Jun 2022
Quoted bid-ask spread (bps)
Top 200 securities by turnover	12.71	16.10	13.95	14.67
All Securities	26.31	30.03	25.37	25.24
Effective bid-ask spread (bps)
Top 200 securities by turnover	9.19	13.02	11.00	11.37
All Securities	21.11	25.15	20.56	20.38
Best depth ($)
Top 200 securities by turnover	809,021.45	1,457,103.10	608,240.39	744,787.13
All Securities	754,592.34	1,295,769.59	587,770.33	701,360.90