Earticle

초록

영어

This paper examines how price discovery efficiency is affected by changes in the pre-trade transparency level on the Korea Exchange (KRX) on October 6, 2003. The preopening session on the KRX has experienced three policy changes related to pre-trade transparency of the open limit order book. We find that KRX stocks composing the KOSPI200 index have significant price learning about 10 minutes before the opening. We document that the transparency level change has reduced informed traders’ participation in the preopening, but has enhanced the information transfer efficiency for uninformed traders. The information loss from the decreased informed participation is canceled out by the increased information transfer efficiency for the uninformed. The total amount of market price discovery shows no significant difference after the transparency change. Overall, we conclude that the pre-trade transparency level change did not increase preopening informativeness of the intrinsic price.

목차

Abstract
 1. Introduction
 2. Hypothesis
  2.1 Price discovery in preopening periods
  2.2 Effects of changes in transparency level on price discovery during preopening period
 3. Data
  3.1 Quote data and trade data
  3.2 The preopening session on the KRX
  3.3 Descriptive statistics of data
 4. Speed of convergence
  4.1 Unbiasedness regression
  4.2 Speed of learning
 5. The probability of information trades
 6. Weighted price contribution
 7. Conclusion
 References

키워드

저자

• Jangkoo Kang [ KAIST Graduate School of Business ]
• Doowon Lee [ KAIST Graduate School of Business ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330