English, Article edition: Does Information Content Necessarily Increase with Greater Pre-Trade Transparency? Yaling Lin; Tai Ma; Hsiu-Kuei Chen

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Does Information Content Necessarily Increase with Greater Pre-Trade Transparency?
Author
  • Yaling Lin
  • Tai Ma
  • Hsiu-Kuei Chen
Physical Description
  • article
Notes
  • This study examines the impact of increasing pre-trade transparency using intraday data from the Taiwanese stock market, which has recently experienced gradually increasing transparency. The analytical results indicate the disclosed quotes are more informative than the accompanied depths, and the orders of institutional traders are more informative than those of individual traders. Additionally, the best quotes of unexecuted orders for individual traders always contain more information than the average quotes from Steps 2 to 5, whereas this does not apply for institutional investors. The feature is more obvious for the sub-samples with high and medium turnover rate, but not for the sub-samples with low turnover rate.
  • Pre-trade transparency, limit order book, information content, intraday analysis, JEL Classification: G11, JEL Classification: G14
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:04:p:531-554
Language
  • English
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