Equity market data for quarter ending March 2024

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 March quarter data

Tables

Table 1: Market characteristics – average for March quarter 2024

Table 2: Measures of market concentration

Table 3: Measures of market efficiency

Graphs

Figure 1: Market share – March quarter 2024

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 2024

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 March 2024

In the March 2024 quarter, ASX accounted for 80.2% of the total dollar turnover in equity market products. Cboe accounted for the remaining 19.8% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 80.9%. 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 55.7% in the March quarter from 56.2% in the December quarter. Trade reporting turnover as a proportion of total dollar turnover decreased to 19.9%, compared to 20.2% in the December quarter.

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

Daily Turnover in the Australian equity market increased by $0.4 billion from the December quarter to an average of $7.7 billion for the March quarter.

The overall order-to-trade ratio increased from 8.8:1 in the December quarter to 9.0:1 in the March quarter.

Depth of the orderbook across the best bid and ask in the March 2024 quarter reached an average of $826,000 across the largest 200 securities and $781,000 across all securities, compared to $901,000 and $847,000 last quarter, respectively. Quoted spreads in the March quarter have decreased for the largest 200 securities, currently at an average of 10.52 bps from 11.18 bps last quarter. Across all securities, quoted spreads have decreased, at 17.28 bps from 18.24 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 10.41 bps from 10.90 bps last quarter, and decreased across all equity products, at 17.88 bps in the March quarter from 18.71 bps previously.

Table 1: Market characteristics – average for March quarter 2024

Statistics	ASX on book	ASX Auctions	ASX Centre Point	ASX trade reporting	Cboe on book	Cboe trade reporting	Total
Number of trades per day	1,135,621	59,190	207,883	43,747	479,667	75,258	2,001,367
(market share)	56.7%	3.0%	10.4%	2.2%	24.0%	3.8%	100.0%
Value traded ($ million/day)	2,991.7	1,877.2	540.4	762.8	757.2	765.7	7,694.9
(market share)	38.9%	24.4%	7.0%	9.9%	9.8%	10.0%	100.0%
Order-to-trade ratio	8.1	na	7.8	na	11.7	na	9.0
Average trade size ($/trade)	2,629.2	31,487.1	2,589.4	17,179.9	1,578.6	10,063.9	3,823.7

Table 2: Measures of market concentration

Statistics	Mar 2023	Jan 2024	Feb 2024	Mar 2024
Total market	0.43	0.45	0.40	0.42
Public venues	0.65	0.64	0.64	0.66

Table 3: Measures of market efficiency

Market Efficiency Statistics	Mar 2023	Jan 2024	Feb 2024	Mar 2024
Quoted bid-ask spread (bps)
Top 200 securities by turnover	10.59	10.57	10.59	10.40
All Securities	16.82	17.93	17.10	16.82
Effective bid-ask spread (bps)
Top 200 securities by turnover	10.87	10.36	10.53	10.32
All Securities	17.25	18.52	17.75	17.37
Best depth ($)
Top 200 securities by turnover	769,716.10	797,784.87	640,816.99	1,038,575.15
All Securities	736,710.06	743,557.39	634,835.28	964,293.72