Earticle

초록

영어

In an effort to improve market transparency, Korea Exchange (KRX) has continuously adopted measures to publicly disclose more information regarding quotes and orders. This paper studies the effects of four events initiated by KRX aimed to enhance the pre-trade transparency: two for market opening by single-price call auction, and two for regular trading hours operated by continuous auction. Our focus is on the effect of the improved pre-trade transparency on the trading of large and/or most actively traded stocks. We select 20 stocks, 10 largest stocks in market capitalizations, and another 10 most actively traded stocks based on trading volumes, before and after each event. We proceed to directly analyze on how liquidity, depth, and investors trading behavior were affected by these events. Market liquidity and depth were generally improved but not by statistically significant margin. Investors adjusted their trading strategies as smaller number of orders was cancelled and it took less time to for traders to cancel their orders. Our study shows that policies aimed to enhance pre-trade transparency might have only marginal impact on the trading of large and/or actively traded stocks as they have limited success in providing additional information to the investors of these stocks.

목차

Abstract
 1. Introduction
 2. Trading mechanisms and transparency regime of Korea Stock Exchange
 3. Data and empirical analysis
  3.1 Data and empirical methodology
  3.2 Empirical results
 4. Conclusion
 References
 Appendix

키워드

저자

• Jaeuk Khil [ College of Business & Economics, Hanyang University ] Corresponding author
• Young S. Park [ School of Business, Sogang University ]
• Jhinyoung Shin [ School of Business, Yonsei University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330