The impact of transparency on market quality for the Taiwan Stock Exchange

Mei-Chu Ke, Yen-Sheng Huang, Tung Liang Liao and Ming-Hui Wang

International Review of Economics & Finance, 2013, vol. 27, issue C, 330-344

Abstract: This paper examines the impact of increased transparency on market quality for stocks listed on the Taiwan Stock Exchange in the pre- and post-period of enhanced transparency starting from January 1, 2003. The Taiwan Stock Exchange discloses unexecuted orders of the five best bid and ask prices following the increased transparency. The empirical results indicate a significant improvement in market quality following the enhanced transparency. Both the bid–ask spreads and the standard deviation of returns decrease significantly in the post-period. Moreover, market depth increases significantly in the post-period. Finally, the results are robust when the market quality of different trading-volume groups is examined.

Keywords: Transparency; Market quality; Information asymmetry; Taiwan Stock Exchange (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:27:y:2013:i:c:p:330-344

DOI: 10.1016/j.iref.2012.10.008

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