Pre-trade Transparency and Market Quality:Evidence from China A Shares Markets1

摘要

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.