Does Information Content Necessarily Increase with Greater Pre-Trade Transparency?

Yaling Lin (), Tai Ma () and Hsiu-Kuei Chen ()
Additional contact information
Yaling Lin: Department of Finance and Banking, I-Shou University, No. 1, Sec. 1, Syuecheng Rd., Dashu, Kaohsiung 840, Taiwan
Tai Ma: Department of Finance, National Sun Yat-Sen University, No. 70, Lien-Hai Rd, Kaohsiung 804, Taiwan
Hsiu-Kuei Chen: Department of Business Administration, Nan Jeon Institute of Technology, No. 178, Chau-Chin Road, Yen-Shui, 737, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2008, vol. 11, issue 04, 531-554

Abstract: 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.

Keywords: Pre-trade transparency; limit order book; information content; intraday analysis; JEL Classification: G11; JEL Classification: G14 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091508001465
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:11:y:2008:i:04:n:s0219091508001465

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091508001465

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().