In this paper we investigate what impact transparency changes at the Korean and Tokyo stock
exchanges have on several market quality metrics. We are able to reconcile most of the effects
with the help of previous literature. We find that when a market does not display broker identity,
as opposed to displaying it equally to the public, volatility, particularly transitory volatility,
increases so that the effect of improvements in spreads observed in previous studies are
mitigated. Depth of the limit order book is not significantly impacted, in opposition to earlier
studies that expect a decline in depth as a result of more competitive orders strategies in a an
opaque system. The current policy of the Korean Stock Exchange to publicly display the 10 best
orders, including broker identity and volume, is supported by this study as best practice.
Keywords: Transparency, Broker ID, Market Quality
학술대회/행사
학술대회안내
[2008년 제 4차] Contrasting the equity market transparency reforms
작성자 : 관리자
조회수 : 899
게시일 :
2008-12-11