Should securities markets be transparent?
Should securities markets be transparent?
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DOI：
10.1016/j.finmar.2005.05.001
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发表时间：
2005-08-01
影响因子：
2.8
通讯作者：
Weaver, D
中科院分区：
文献类型：
--
作者：
Madhavan, A;Porter, D;Weaver, D
市场透明度是关于场内交易系统与自动交易系统、做市商的信息优势以及交易系统之间的市场竞争的辩论的核心。由于透明度制度的变化是罕见的，对每一个事件的分析对于我们准确评估主流理论的能力变得更加重要。当多伦多证券交易所在传统的交易大厅和自动交易系统上公开发布限价订单时，我们研究了受其影响的自然实验。透明度制度的这种变化使我们能够隔离透明度增加的影响，同时控制股票特定因素和交易系统的类型（地板或自动化）。我们发现，透明度的增加降低了流动性。特别是限价盘公开展示后，执行成本和波动性增加。我们还表明，流动性的减少与股票价格的显着下降。(c)2005 Elsevier B.V.保留所有权利。
Market transparency lies at the heart of debate about floor versus automated trading systems, the informational advantages of market makers, and inter-market competition between trading systems. Since changes in transparency regimes are rare, analysis of each event becomes more crucial in our ability to evaluate prevailing theory accurately. We examine the natural experiment affected by the Toronto Stock Exchange when it publicly disseminated the limit order book on both the traditional floor and on its automated trading system. This change in transparency regime allows us to isolate the effects of increased transparency while controlling for stock-specific factors and for type (floor or automated) of trading system. We find that the increase in transparency reduces liquidity. In particular, execution costs and volatility increase after the limit order book is publicly displayed. We also show that the reduction in liquidity is associated with significant declines in stock prices. (c) 2005 Elsevier B.V. All rights reserved.