Pre-trade Transparency and Market Quality:Evidence from China A Shares Markets1
The information disclosure of limit-order book, which is a key aspect of pre-trade transparency, could influence the market quality to some extent. But there are two viewpoints about the influence of high transparency: some believe that the influence is positive, while others don’t think so. We examine the effects of the improved transparency in China A shares markets, and our results support the former opinion evidently. We find that after the improvement of transparency, the informative efficiency of most stocks is improved, although a few stocks are deteriorated; the liquidity of market is greatly increased, and the volatility is decreased, which all mean that the market quality is improved.
Market microstructure Transparency Market quality
Feng Dong Liyan Han
School of Economics & Management Beijing University of Aeronautics and Astronautics Beijing, China
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）