Market Quality Indicators. ASX Equity Index and Interest Rate Futures

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1 Market Quality Indicators ASX Equity Index and Interest Rate Futures March Quarter 213

2 Introduction Welcome to this edition of Market Quality Indicators. The Market Quality Indicators is a bi-annual publication prepared by ASX in conjunction with, Dr Andrew Lepone and Jimmy Liu from the Discipline of Finance at the University of Sydney. Market Quality Indicators has been developed to provide a quantitative overview of the trading activity and market dynamics of ASX equity index and interest rate futures, and highlights the extent of trading opportunities available on ASX. The Company ASX is a multi-asset class, vertically integrated exchange group, and one of the world s top-1 listed exchange groups measured by market capitalisation. ASX s activities span primary and secondary market services, central counterparty risk transfer, and securities settlement for both the equities and fixed income markets. It functions as a market operator, clearing house and payments system facilitator. It monitors and enforces compliance with its operating rules, promotes standards of corporate governance among Australia s listed companies and helps to educate retail investors. ASX s diverse domestic and international customer base includes issuers of securities and financial products, investment and trading banks, fund managers, hedge funds, commodity trading advisers, brokers and proprietary traders, market data vendors and retail investors. By providing its systems, processes and services reliably and fairly, ASX generates confidence in the markets that depend on its infrastructure. This is integral to ASX s long-term commercial success. More information on ASX can be found on our website

3 Table of Contents Equity Index Futures 1. Market commentary on Q4 212 and Q1 213 activity Page 2 2. SPI2 Futures Graphs Page 3 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility Tracking Basis Interest Rate Futures 1. Market commentary on Q4 212 and Q1 213 activity Page Day Interbank Cash Rate Futures Graphs Page 9 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility 3. 9 Day Bank Bill Futures Futures Graphs Page 13 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility 4. 3 Year Treasury Bond Futures Graphs Page 17 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility 1. 1 Year Treasury Bond Futures Graphs Page 21 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility 6. 9 Day New Zealand Bank Bill Futures Graphs Page 2 Trading Activity Average Daily Volume and Trade Size Orderbook Liquidity Bid Ask Spreads and Market Depth Price Volatility Trading Range and Volatility 7. 3 Year vs 1 Year Treasury Bond Futures Spread Page Day Bank Bill vs 3 Year Treasury Bond Futures Spread Page Day Interbank Cash Rate vs 9 Day Bank Bill Futures Spread Page 3 Methodology Page 31

4 ASX 24 Equity Index Futures Market Activity for Q4 212 and Q1 213 The Spot ASX SPI 2 Futures (SPI) contract broke through the 4, level in October before forming a low in November which marked the start of a prolonged rally taking the SPI to over,1. March saw a pullback to below 4,9. The Reserve Bank of Australia lowered the cash rate by 2bps in October and December. With concerns remaining about the outlook for the domestic economy markets continued to build in expectations of further rate cuts. Over this time period, global equity markets continued to rally as foreign central banks offered more accommodative monetary policy conditions in order to encourage investment and job growth. US and Japanese central banks have accelerated their asset purchase plans in order to support weak domestic economies which have had a positive effect on equity markets. The difficult credit situation in Europe eased into 213 following the Greek bailout deal in late 212 and partial resolution of the political deadlock in Italy in February, with funding rates in both Spain and Italy improving. The average trading range (graphs and 6) increased slightly during the day session and remained largely unchanged in the night session. Given the relatively low trading ranges seen in the past 12 months, a slight increase isn t surprising given the rally that started in November. The trading range frequency graph (graph 8) for 212/13 appears to be in the process of forming a peak slightly to the left of previous years which is to be expected given the lower average trading ranges seen over the past 12 months or more. The premium or discount of the SPI to the S&P/ASX 2 index (graph 9) continues to oscillate in a relatively predictable pattern consistent as the SPI moves from premium to discount in relation to the S&P/ASX 2. 2 Similar to global markets, the SPI 2 witnessed a consistent rally throughout the Q4 212 and Q1 213 period, increasing from approximately 4,3 to over, points at the end of Q Average daily volume in both the day and night sessions were largely unchanged throughout this period. The average trade size in the night session has continued to trend upwards and the volume traded in the day session has reversed the downward trend in the previous two quarters. Over the past two quarters the average trade size decreased slightly during the day session and increased slightly during the night session. Best depth improved over both the day and night sessions in the past two quarters while total depth improved markedly in the night session and remained close to the depth seen in the Q2 212 day session. Bid-ask spreads were largely unchanged on previous quarters (graphs 3 and 4).

5 ASX SPI 2 Index Futures 1. Trading activity Day trading session 4, 2.2 3, 2.1 3, 2, 2, 1, Average Trade Size 1,, Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 2. Trading activity Night trading session 8, , 1.8 6, 1.6, 4, 3, Average Trade Size 2, 1. 1,.8 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4.6 Average Daily Volume (LHS) Trade Size (RHS)

6 ASX SPI 2 Index Futures continued 3. Bid-Ask spreads and average quoted depth Day trading session Index Points Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 4. Bid-Ask spreads and average quoted depth Night trading session Index Points Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

7 . Trading range Day trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 Index Points 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average 6. Trading range Night trading session 6 4 Index Points /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average

8 ASX SPI 2 Index Futures continued 7. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More 29/1 21/11 211/12 212/13

9 9. ASX SPI 2 Futures vs Cash Index Basis /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 Index Points 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/ Average Quarterly Basis 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 7 Average Daily Error Average Daily Error

10 ASX 24 Interest Rate Futures 8 Market Activity for Q2 212 and Q3 212 Given concerns surrounding the US fiscal cliff, uncertainty surrounding the Greek bailout deal and further unease about the state of the domestic two speed economy, the RBA considered it prudent to reduce the official cash rate twice from 3.% to 3% in Q These cuts were largely priced into the market prior to the Q4 212 period, as evidenced by the stable market volatility during that period. Two notable trends in the short term interest rate futures were the strength in overnight volumes as well as a significant increase in both day and night session depth. These levels of depth were only surpassed in Q2 211 during the height of the European sovereign debt crisis. Similarly, night session volume in the long term interest rate futures also showed an upward trend. This was particularly evident in the 1 Year Treasury Bond Futures contract where the highest recorded average daily volume for a night session was witnessed in Q This was coupled with record levels of total liquidity in both the 3 and 1 Year Treasury Bond Futures contracts. Total night session depth in the 3 Year Treasury Bond Futures increased by 2% on the previous record set in Q Night session liquidity in the 1 Year Treasury Bond Futures increased 4% in Q4 212 and 48% in Q The increased level of liquidity has led to tighter spreads and stable volatility in light of economic concerns in the US and the re-emergence of sovereign bank liquidity issues in Europe. During March 213 there were a number of exchange records. Individual monthly trading records set for the 9 Day Bank Bill Futures, 3 Year Treasury Bond Futures, 1 year Treasury Bond Futures contract and 3 Year Treasury Bond Overnight Options. March 213 was also a record volume month across all ASX 24 products. In New Zealand, the RBNZ maintained its conservative stance on cash rate movements, continuing to hold the official cash rate at 2.% throughout the six month period covered in this report. Liquidity in the NZ 9 Day Bank Bill Futures contract improved in Q1 213, however this has not resulted in an increase in traded volume. Traded volume has followed a downward trend since Q3 211 given the stable cash rate environment. The report concludes with the graphs of the CAB spread (IB vs IR) and BAT spread (IR vs YT) tracked against the overnight cash rate. Previous negative spreads on these charts have moved more positive, especially with the BAT spread where a large positive movement in the basis point spread was evident is December 212. Both spreads trended towards zero as economic conditions together with statements given by the RBA indicated that official cash rate levels were likely to remain stable for a period of time.

11 3 Day Interbank Cash Rate Futures 11. Trading activity Day trading session 12, 2 1, 2 8, 6, 4, 1 1 Average Trade Size 2, 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 12. Trading activity Night trading session 3, 2 9 2, 2 2, 1, 1, 1 1 Average Trade Size 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS)

12 3 Day Interbank Cash Rate Futures continued 13. Bid-Ask spreads and average quoted depth Day trading session 1, , 1.2 6, 4, , Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 14. Bid-Ask spreads and average quoted depth Night trading session 1 9, 2.8 8, 7, 6,, 4, 3, 2, 1, Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

13 1. Trading range Day trading session RBA official cash rate % /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range RBA Official Cash Rate Moving Average 16. Trading range Night trading session RBA official cash rate % 1 16/3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range RBA Official Cash Rate Moving Average

14 3 Day Interbank Cash Rate Futures continued 17. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More 29/1 21/11 211/12 212/13

15 9 Day Bank Accepted Bill Futures 19. Trading activity Day trading session 3, 4 2, 4 3 2, 3 1, 1, Average Trade Size, 1 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 2. Trading activity Night trading session 9, 8, 7, ,, 4, 3, Average Trade Size 2, 1 1, 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS)

16 9 Day Bank Accepted Bill Futures continued 21. Bid-Ask spreads and average quoted depth Day trading session 12, 1.6 1, , 6, 4, ,.2 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 22. Bid-Ask spreads and average quoted depth Night trading session 14 7, 2. 6,, 1. 4, 3, 1. 2,. 1, 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

17 23. Trading range Day trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average 24. Trading range Night trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average

18 9 Day Bank Accepted Bill Futures continued 2. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More 29/1 21/11 211/12 212/13

19 3 Year Treasury Bond Futures 27. Trading activity Day trading session 12, 7 1, 6 8, 6, 4, Average Trade Size 2, 1 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 28. Trading Activity Night trading session 4, 4, 3, , 3 2, 2, 1, Average Trade Size 1, 1, 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS)

20 3 Year Treasury Bond Futures continued 29. Bid-Ask spreads and average quoted depth Day trading session 2, 1.2 2, 1. 1, 1,.8.6.4,.2 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 3. Bid-Ask spreads and average quoted depth Night trading session 18 14, , 1.2 1, 1. 8, 6,.8.6 4,.4 2,.2 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

21 31. Trading range Day trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average 32. Trading range Night trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average

22 3 Year Treasury Bond Futures continued 33. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More 29/1 21/11 211/12 212/13

23 1 Year Treasury Bond Futures 3. Trading activity Day trading session 3, 12 3, 1 2, 8 2, 1, 6 4 Average Trade Size 1,, 2 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 36. Trading activity Night trading session 2, , , 1, Average Trade Size, 2 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS)

24 1 Year Treasury Bond Futures continued 37. Bid-Ask spreads and average quoted depth Day trading session 4,.7 3,.6 3,. 2, 2, 1,.4.3 1, Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 38. Bid-Ask spreads and average quoted depth Night trading session Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

25 39. Trading range Day trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average 4. Trading range Night trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average

26 1 Year Treasury Bond Futures continued 41. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More /1 21/11 211/12 212/13

27 9 Day New Zealand Bank Bill Futures 43. Trading activity Day trading session 2, 1,8 1,6 4 1,4 1,2 1, Average Trade Size Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS) 44. Trading activity Night trading session Average Trade Size 1 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Volume (LHS) Trade Size (RHS)

28 9 Day New Zealand Bank Bill Futures continued 4. Bid-Ask spreads and average quoted depth Day trading session 1,6 6 1,4 1,2 1, Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS) 46. Bid-Ask spreads and average quoted depth Night trading session 26 1,2 18 1,1 1, Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Best Depth (LHS) Total Depth (LHS) Bid-Ask Spread (RHS)

29 47. Trading range Day trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average 48. Trading range Night trading session /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Trading Range Day Range Moving Average

30 9 Day New Zealand Bank Bill Futures continued 49. Volatility Panel A : Day Trading 9-Q2 9-Q3 9-Q4 1-Q1 1-Q2 1-Q3 1-Q4 Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Panel A : Day Trading Average Daily Range (B.P.) Standard Deviation Panel A : Night Trading Average Daily Range (B.P.) Standard Deviation Trading Range Frequency Frequency More 29/1 21/11 211/12 212/13

31 Interest Rate Futures Curve Spreads 1. 3 vs. 1 Year Spread RBA official cash rate % /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Spread RBA Official Cash Rate 2. BAT spread (9 Day Bank Bill vs. 3 Year Bond) RBA official cash rate % /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 16/3/213 Spread RBA Official Cash Rate

32 Interest Rate Futures Curve Spreads continued 3. CAB Spread (3 Day Interbank vs. 9 Day Bank Bill) RBA official cash rate % /3/29 16/7/29 16/11/29 16/3/21 16/7/21 16/11/21 16/3/211 16/7/211 16/11/211 16/3/212 16/7/212 16/11/213 CAB Spread RBA Official Cash Rate 3

33 Methodology Data is obtained from a Reuters trade and quote database managed by SIRCA. The data contains a record describing each transaction, including the contract code, date, time and the price and volume of each trade. The data also provides the prices and volumes of the best bid and ask quotes. The time period extends from 16 March 29 to 22 March 213. The contracts examined are the SPI 2 futures, 3 Day Interbank Cash Rate futures, 9 Day Bank Accepted Bill futures, 3 Year Treasury Bond futures, 1 Year Treasury Bond futures and 9 Day New Zealand Bank Bill Futures. For each contract, we exclude the days prior to expiration. Traded volume is calculated as the total number of shares traded. Trade size is equal to the average number of contracts per trade. The absolute bid-ask spread is measured as the best ask-price minus the best bid-price. Best depth is defined as the average of the volume available at the best bid and best ask price. Total depth is defined as the average of the volume available at each bid and ask price throughout the visible limit-order book. Trading range is calculated as the difference between the high and low price for the day and night trading session. Standard deviation of returns is defined as the standard deviation of the logarithm of the daily high and low price for the quarter. The basis tracking is the difference in the closing prices of the SPI 2 futures and the ASX 2 index. The 3 vs. 1 Year Spread is the difference in the daily closing prices of the 1 Year Treasury Bond futures and 3 Year Treasury bond futures. The BAT spread is the difference in the daily closing prices of the 3 Year Treasury Bond futures and 9 Day Bank Accepted Bill futures (second month). The CAB Spread is the difference in the daily closing prices of the 9 Day Bank Accepted Bill futures (second month) and 3 Day Interbank Cash Rate futures (second month). 31

34 32 Notes

35 Contact Details Australia Maurice Farhart Senior Manager, International Sales maurice.farhart@asx.com.au Asia Andrew Musgrave Regional Manager, Asia andrew.musgrave@asx.com.au Europe James Keeley Regional Manager, Europe james.keeley@asx.com.au North America David Ritchie Vice President Regional Manager, North America Chicago: david.ritchie@asx.com.au Head office ASX Limited Exchange Centre 2 Bridge Street Sydney NSW 2 Australia Telephone

36 This is not intended to be financial product advice. To the extent permitted by law, ASX Limited ABN and its related bodies corporate excludes all liability for any loss or damage arising in any way including by way of negligence. This document is not a substitute for the Operating Rules of the relevant ASX entity and in the case of any inconsistency, the Operating Rules prevail. Copyright 213 ASX Limited ABN All rights reserved 213. Domestic Information Line: International Information Line: For these contracts the market is operated by Australian Securities Exchange Limited ACN

Annual Australian Cash Equity Market

Annual Australian Cash Equity Market ASX Equity Market Turnover Average Total Market Capitalisation and Liquidity (1987 to 212) A$B 1,8 1,6 1,4 1,2 1, 8 6 4 2 11 1 9 8 7 6 5 4 3 2 1 Percentage (%) 1987