The impact of transparency on volatility, liquidity and efficiency in Taiwan security market.

[[abstract]]台灣證券集中市場每盤撮合後的最高未成交買價與最低未成交賣價，不一定完全揭示，且兩者所對應的委託量完全不揭示。而在台灣證券櫃臺買賣中心每盤撮合後，最高未成交買價與最低未成交賣價與兩者所對應的委託量都完全揭示。亦即台灣證券集中市場的價格與委託量資訊的揭示限制，較證券櫃臺買賣中心為嚴格，隱含台灣證券集中市場的透明度比證券櫃臺買賣中心低。本研究採用分別於民國89年9月11日與90年9月17日由台灣證券櫃臺買賣中心轉移到台灣證券集中市場交易的53家及48家公司為樣本，驗證並推論出揭示制度(透明度)的改變對波動性、流動性及效率性之影響。本研究以樣本之日資料、日內資料及每5分鐘一筆的日內資料進行實證。日資料的實證結果顯示透明度較高的台灣櫃臺買賣中心有較低的撥波動性及流動性但效率性則無一致結果；在採用兩種日內資料的實證結果顯示透明度較低的證券集中市場的波動性較低，但流動性及效率性較高。[[abstract]]In Taiwan Securities Exchange (TSE), both the highest bid price (bid) and the lowest ask price (ask) after a call executed may be reported or not, but the corresponding orders are not disclosed at all. In R.O.C. over the-counter Security Exchange (ROSE) both the highest bid and the lowest ask price and the corresponding orders are reported. It implies that TSE is less transparent than the ROSE. We adopt the 53 companies that are transferred from OTC to TSE on 11th, 9, 2000 and 47 companies that transferred on 17, 9, 2001 to be our samples and analyze the impacts of the change of disclosure rules on the market volatility, liquidity and efficiency. We adapt daily, intra-day data and five-minutes-interval intra day data to do our empirical study。 The results are that ：by adapting daily data , TSE has higher volatility and liquidity then ROSE，but we can not determine the efficiency 。By adapting the two intra-day data, the TSE has lower volatility and higher liquidity and efficiency then ROSE