基于2003年12月8日沪深交易所交易前市场透明度改革背景，本文利用一家营业部的投资者报价和交易数据，研究同一个机构投资者和散户投资者在透明度改革前后委托单提交激进程度的变化，以及这种变化对其完成交易的成本的影响。我们发现，透明度改革前后，机构投资者的委托单提交激进程度都显著大于散户投资者的委托单提交激进程度。透明度增加以后，机构投资者的委托单激进程度显著减少，而散户投资者的委托单提交激进程度增加。同时发现，透明度增加以后，机构投资者通过分拆委托单，增加交易次数，导致完成交易的时间增加，但价格影响力基本没有变化，散户投资者的成交时间和价格影响力有显著改善。%On December 8, 2003 Shanghai and Shenzhen Stocks Exchanges announced to increase the market pre- trade transparency. Using one large brokerage house＇s individual and institutional investors＇ quote and transaction data, the paper analyzes the influence of pro - trade transparency on the order placement aggressiveness of individual as well as institutional investors, and their transaction costs. We find that order aggressiveness of institutional investors is always larger than that of individual investors before and after transparency increases. Further more, as the pre - trade transparency increases, the order aggressiveness of institutional investors＇ decreases significantly while that of the individual investors＇ increases. We also find that institutional investors control transaction costs through order splitting and more trades, but prolong their transaction time. In addition, our results indicate that greater pre - trade transparency reduces the transaction costs for individual investors significantly.
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