ASIC today released the first of its new quarterly series of data relating to Australia's cash equity markets.
The data consists of a set of indicators of market characteristics and efficiencies calculated from ASIC's market surveillance system. These indicators will provide a quarterly snapshot of the entire market landscape that is not otherwise available.
ASIC Deputy Chairman Belinda Gibson said the additional information will further inform the discussion on market developments.
‘This initiative is consistent with ASIC's promotion of fair and transparent markets, and confident and informed investors’, Ms Gibson said.
The data includes information gathered during the first quarter of 2013, with subsequent updates to be published every quarter. A review of the data will be made after 12 months.
Information Sheet 177 Quarterly cash equity market data: Methodology and definitions (INFO 177) outlines the methodology and definitions for collecting and aggregating the data.
The quarterly data is now available on the ASIC website. A link to the data will be sent out for each subsequent quarter.
Download:
Summary
The market characteristic indicators provide a general overview of trading activity, while the efficiency indicators proxy the cost of trading and accessibility of liquidity.
In the first quarter, liquidity in the Australian market concentrated on the ASX, which accounted for around 89% of the total value traded. Chi-X accounted for the remaining 11%. These figures include trades executed off order book and reported through either market operator.
Overall turnover averaged $4.9 billion traded per day. The average trade size was $5,600 – considerably lower than the levels seen in 2010. The average bid-ask spread among the most liquid securities (those comprising the ASX 200 index) remained broadly unchanged over the past two years, at 15 basis points of the midpoint price. Average spreads for all securities have declined somewhat in recent times.
The commencement of Chi-X in October 2011 saw an increase in the overall order-to-trade ratio. This has reversed over 2012 and stood at around 6.8:1 for the March Quarter 2013.