Finance and Financial Management Commons^™

The Impact Of Post-Trade Transparency On Price Efficiency And Price Discovery: Evidence From The Taiwan Stock Exchange, Chiou-Fa Lin, Cheng-Huei Chaio, Bin Wang

Finance Faculty Research and Publications

Purpose

The purpose of this paper is to examine the impact of post-trade transparency on price efficiency and price discovery.

Design/methodology/approach

The authors use an exogeneous change in market transparency in the Taiwan Stock Exchange that mandates the disclosure of unexecuted orders of the five best bid and ask prices after each trade, and conduct an event study analysis.

Findings

After the change, price efficiency enhances for both large and small firms, although the impact on stock prices is greater when the firm is larger. The authors also find that post-change trading reveals more private information for large firms but …