Transparency, Trading Information and Price Discovery: Evidence from an Emerging Stock Market
DOI:
https://doi.org/10.47941/ijf.3402Keywords:
Transparency, WPC, WPCT, Price DiscoveryAbstract
Purpose: This study examines the effects of an incremental transparency event on the trading information and price discovery.
Methodology: The weighted price contribution (WPC) and the weighted price contribution per trade (WPCT) are used to measure trading information; the methodology of Hasbrouck(1991b) is applied in measuring price discovery.
Findings: We compile evidence that the transparency event prevents price manipulation especially at the last trading interval for large firms, raises private information ratio and reduces public information ratio by impounding more trade-related component into price for all sized firms.
Unique Contribution to Theory, Practice and Policy: We investigate the effects of a higher post-trade transparency, using the same stocks in the same market structure. This study provides a complement to the existing post-trade transparency literature. The implications of our results are that the transparency event is helpful for market fairness, efficient market and price discovery.
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