Transparency and Market Performance：Evidence from Taiwan Security Market

[[abstract]]台灣證券交易所自民國92年1月2日後，開始揭示最佳五檔買賣委託價量資訊，本研究將針對此新揭示制度進行研究，觀察新揭示制度實施前後，交易前透明度的改善，對於台灣證券集中市場之市場績效有何影響與改變。 本文以台灣50指數成份股為研究樣本，實證結果發現盤中揭露五檔價量資訊後，相對有效價差降低、市場深度增加，整體市場流動性獲得顯著改善；極值波動性與調整波動性皆降低，整體市場波動程度顯著降低；另外，藉由VAR模型與衝擊反應函數的實證結果發現市場波動性與深度間之互動關係並無太大改變；而以逆選擇成本降低的實證結果來看，市場資訊不對稱的情況隨著透明度的提高而獲得顯著的改善。 最佳五檔價量揭示制度的實施提供投資人更多且更透明的資訊，促使交易雙方能進行公平的交易，降低資訊不對稱的影響，整體而言，最佳五檔價量揭示制度的實施，對於台灣證券集中市場的市場績效而言，是有其正面效果的。[[abstract]]Taiwan Stock Exchange Corporation had disclosed the best five bid / ask quotes and quantities since Jan. 1, 2003. This study focus on the new disclosure policy to observe how the new disclosure policy affects and changes the market performance of Taiwan Security market. We use TSEC Taiwan 50 Index Constituents to examine the influence of transparency on the market performance after disclosing the best five bid / ask quotes and quantities. The results show that the relative effective spreads are decreasing and the market depths are increasing after the new disclosure policy, indicates that the whole market liquidity gets much better；For volatility, the Parkinson measure and the adjusted volatility are all decreasing after the market gets more transparent, indicates that volatility is improved apparently. In addition, the cost of information asymmetry is reduced after the market gets more transparent. All these results show that transparency has positive impact on the market performance of Taiwan Security market