This paper investigates the impact of increased transparency on market quality for stock listed on the Stock Exchange of Thailand in the pre- and post-period of increased transparency starting from March 30, 2009. The Stock Exchange of Thailand enhances market transparency by disclosing the five best bid and best offer prices. The empirical results indicate that increased transparency improves the liquidity consistent with the primary objective of the Stock Exchange of Thailand. However, the price efficiency shows the contrast impact of increased transparency as the short term return volatility increases and there is no improvement of the variance ratio. The additional examination found out that the liquidity improvement is associated with the higher volatility.
Impact of Increased Transparency on Market Quality: Evidence from Thailand
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM
Last updated at Tuesday, 8 August 2017 10:35 AM