Equity market data for quarter ending December 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 December quarter data

Tables

Table 1: Market characteristics – average for December quarter 2023

Table 2: Measures of market concentration

Table 3: Measures of market efficiency

Graphs

Figure 1: Market share – December 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 – December 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

Equity market data for quarter ending December 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 for quarter ending December 2023

In the December 2023 quarter, ASX accounted for 80.9% of the total dollar turnover in equity market products. Cboe accounted for the remaining 19.1% of total dollar turnover. This is a decrease in ASX’s market share from last quarter where it was 84.0%. 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 56.2% in the December quarter from 58.5% in the September quarter. Trade reporting turnover as a proportion of total dollar turnover increased to 20.2%, compared to 18.0% in the September quarter.

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

Daily Turnover in the Australian equity market increased by $0.1 billion from the September quarter to an average of $7.3 billion for the December quarter.

The overall order-to-trade ratio decreased from 9.1:1 in the September quarter to 8.8:1 in the December quarter.

Depth of the orderbook across the best bid and ask in the December 2023 quarter reached an average of $901,000 across the largest 200 securities and $847,000 across all securities, compared to $825,000 and $773,000 last quarter, respectively. Quoted spreads in the December quarter have decreased for the largest 200 securities, currently at an average of 11.18 bps from 13.07 bps last quarter. Across all securities, quoted spreads have decreased, at 18.24 bps from 22.12 bps last quarter. Effective spreads have decreased across the largest 200 securities, at 10.90 bps from 12.17 bps last quarter, and decreased across all equity products, at 18.71 bps in the December quarter from 20.23 bps previously.

Table 1: Market characteristics – Average for December 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	1,051,026	56,661	211,566	43,080	409,764	74,960	1,847,057
(market share)	56.9%	3.1%	11.5%	2.3%	22.2%	4.1%	100.0%
Value traded ($ million/day)	2,850.6	1,712.9	515.6	799.7	718.7	670.8	7,268.3
(market share)	39.2%	23.6%	7.1%	11.0%	9.9%	9.2%	100.0%
Order-to-trade ratio	8.0	na	7.0	na	11.9	na	8.8
Average trade size ($/trade)	2,712.5	30,216.8	2,454.2	18,559.2	1,754.6	9,001.3	3,933.6

Table 2: Measures of market concentration

Statistics	Dec 2022	Oct 2023	Nov 2023	Dec 2023
Total market	0.44	0.43	0.40	0.41
Public venues	0.65	0.64	0.65	0.63

Table 3: Measures of market efficiency

Market Efficiency Statistics	Dec 2022	Oct 2023	Nov 2023	Dec 2023
Quoted bid-ask spread (bps)
Top 200 securities by turnover	11.12	11.02	11.48	11.03
All Securities	17.77	17.92	19.23	17.57
Effective bid-ask spread (bps)
Top 200 securities by turnover	9.74	10.79	11.26	10.64
All Securities	16.78	18.38	19.88	17.89
Best depth ($)
Top 200 securities by turnover	595,806.33	931,479.97	874,663.60	897,304.18
All Securities	567,184.40	863,533.05	814,417.45	863,500.97