Equity market data for quarter ending March 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
Tables
Table 1: Market characteristics – average for March quarter 2022
Table 2: Measures of market concentration
Table 3: Measures of market efficiency
Graphs
Figure 1: Market share – March 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 – March quarter 2022
Figure 10: Effective bid–ask spreads
Equity market data from other quarters
Summary for Quarter Ending March 2022
In the March 2022 quarter, ASX accounted for 83.7% of the total dollar turnover in equity market products. Chi-X accounted for the remaining 16.3% of total dollar turnover. This is an increase in ASX’s market share from last quarter where it was 82.5%. 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 decreased to 59.8% in the March quarter from 63.3% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 18.5%, compared to 16.7% in the December quarter.
ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, increased to 0.70 in the March quarter from 0.69 in the December quarter (maximum 1.00).
Daily Turnover in the Australian equity market increased by $2.3 billion from the December quarter to an average of $10.5 billion for the March quarter.
The overall order-to-trade ratio increased from 8.1:1 in the December quarter to 8.7:1 in the March quarter.
Depth of the orderbook across the best bid and ask prices in the March 2022 quarter reached an average of $1.9 million across the largest 200 securities and $1.7 million across all securities, compared to $450,000 and $529,000 last quarter, respectively. The significant surge in depth across best bid and ask prices in the March 2022 quarter was due to a considerable increase in depth for SYD, which had an implementation of a takeover, and CIM, which had a takeover offer . Excluding CIM and SYD, average depth across the best bid and ask prices in the March 2022 quarter was $723,000 across the largest 200 securities and $719,000 across all securities. Quoted spreads in the March quarter have decreased for the largest 200 securities, currently at an average of 11.40 bps from 11.44 bps last quarter. Across all securities, quoted spreads have decreased, at 19.78 bps from 21.51 bps last quarter. Effective spreads have increased across the largest 200 securities, at 10.23 bps from 10.21 bps last quarter, and decreased across all equity products, at 19.01 bps in the March quarter from 20.96 bps previously.
Table 1: Market Characteristics – Average for March Quarter 2022
| Statistics | ASX on book | ASX Auctions | ASX Centre Point | ASX trade reporting | Chi-X on book | Chi-X trade reporting | Total |
|---|---|---|---|---|---|---|---|
| Number of trades per day | 1,625,932 | 66,600 | 145,696 | 33,167 | 523,369 | 95,724 | 2,490,491 |
| (market share) | 65.3% | 2.7% | 5.9% | 1.3% | 21.0% | 3.8% | 100.0% |
| Value traded ($ million/day) | 4,769.6 | 2,276.9 | 610.0 | 1,118.8 | 889.6 | 817.3 | 10,482.2 |
| (market share) | 45.5% | 21.7% | 5.8% | 10.7% | 8.5% | 7.8% | 100.0% |
| Order-to-trade ratio | 6.5 | na | 11.8 | na | 15.0 | na | 8.7 |
| Average trade size ($/trade) | 2,932.8 | 34,199.1 | 4,203.7 | 33,825.8 | 1,699.8 | 8,535.0 | 4,209.4 |
Table 2: Measures of market concentration
| Statistics | Mar 2021 | Jan 2022 | Feb 2022 | Mar 2022 |
|---|---|---|---|---|
| Total market | 0.45 | 0.46 | 0.44 | 0.46 |
| Public venues | 0.68 | 0.71 | 0.69 | 0.69 |
Table 3: Measures of market efficiency
| Market Efficiency Statistics | Mar 2021 | Jan 2022 | Feb 2022 | Mar 2022 |
|---|---|---|---|---|
| Quoted bid-ask spread (bps) | ||||
| Top 200 securities by turnover | 16.79 | 11.14 | 10.75 | 12.30 |
| All Securities | 32.49 | 19.48 | 18.87 | 20.98 |
| Effective bid-ask spread (bps) | ||||
| Top 200 securities by turnover | 12.47 | 10.00 | 9.54 | 11.15 |
| All Securities | 26.09 | 18.84 | 17.91 | 20.29 |
| Best depth ($) | ||||
| Top 200 securities by turnover | 438,706.46 | 784,115.35 | 1,058,129.11 | 326,513.86 |
| All Securities | 657,402.62 | 720,070.16 | 1,035,347.53 | 402,750.24 |
Note: BLD in July 2021, SYD in February 2022, and CIM in March 2022 are excluded when computing depth metrics.
Figure 1: Market share – March 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 – March 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
Note: BLD in July 2021, SYD in February 2022, and CIM in March 2022 are excluded when computing depth metrics.