Equity market data for quarter ending June 2023

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 2023

Table 2: Measures of market concentration

Table 3: Measures of market efficiency

Graphs

Figure 1: Market share – June quarter 2023

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 2023

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 2023

In the June 2023 quarter, ASX accounted for 86.0% of the total dollar turnover in equity market products. Cboe accounted for the remaining 14.0% of total dollar turnover. This is an increase in ASX’s market share from last quarter where it was 81.6%. 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 58.9% in the June quarter from 60.8% in the March quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 17.1%, compared to 18.0% in the March quarter.

ASX’s market share, measured by the Herfindahl-Hirschman Index (HHI) measure of market concentration of public order book volumes, increased to 0.66 in the June quarter from 0.64 in the March quarter (maximum 1.00).

Daily Turnover in the Australian equity market decreased by $0.4 billion from the March quarter to an average of $7.3 billion for the June quarter.

The overall order-to-trade ratio increased from 9.5:1 in the March quarter to 9.6:1 in the June quarter.

Depth of the orderbook across the best bid and ask in the June 2023 quarter reached an average of $837,000 across the largest 200 securities and $788,000 across all securities, compared to $668,000 and $635,000 last quarter, respectively. Quoted spreads in the June quarter have increased for the largest 200 securities, currently at an average of 12.39 bps from 10.93 bps last quarter. Across all securities, quoted spreads have increased, at 21.79 bps from 17.63 bps last quarter. Effective spreads have increased across the largest 200 securities, at 10.73 bps from 9.97 bps last quarter, and increased across all equity products, at 19.30 bps in the June quarter from 17.05 bps previously.

Table 1: Market characteristics – average for June quarter 2023

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Cboe on book	Cboe trade reporting	Total
Number of trades per day	965,281	61,568	205,446	48,534	389,651	62,125	1,732,607
(market share)	55.7%	3.6%	11.9%	2.8%	22.5%	3.6%	100.0%
Value traded ($ million/day)	3,070.3	1,744.3	542.5	906.0	675.9	341.2	7,280.4
(market share)	42.2%	24.0%	7.5%	12.4%	9.3%	4.7%	100.0%
Order-to-trade ratio	8.6	na	6.7	na	13.8	na	9.6
Average trade size ($/trade)	3,184.5	28,305.5	2,647.1	19,596.3	1,735.9	5,487.6	4,203.6

Table 2: Measures of market concentration

Statistics	Jun 2022	Apr 2023	May 2023	Jun 2023
Total market	0.46	0.45	0.46	0.46
Public venues	0.68	0.63	0.66	0.67

Table 3: Measures of market efficiency

Market Efficiency Statistics	Jun 2022	Apr 2023	May 2023	Jun 2023
Quoted bid-ask spread (bps)
Top 200 securities by turnover	14.67	12.82	12.14	12.19
All Securities	25.24	22.53	21.40	21.44
Effective bid-ask spread (bps)
Top 200 securities by turnover	11.37	11.11	10.58	10.51
All Securities	20.38	19.95	19.03	18.92
Best depth ($)
Top 200 securities by turnover	744,787.13	909,927.85	764,837.55	837,336.70
All Securities	701,360.90	857,890.66	725,791.19	779,907.51