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A Cross-Country Model for the Influence of the Pre-Trade Transparency on Market Liquidity and Price Volatility
2008
The Journal of Trading
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In this paper we examine how the pre-trade transparency (PTT), a specific market microstructure feature, affects the liquidity and the price volatility of a Stock Exchange. In particular, we estimate a system of simultaneous equations for a set of liquidity and volatility indicators as a function of the PTT, given a series of control variables. Our main finding is that transparency increases liquidity and reduces volatility and this is coherent with part of the existing literature. Moreover,
doi:10.3905/jot.2008.708837
fatcat:vujpyqpdrrbkle6r2ixmnqldti