Transparency and liquidity: A study of block trades on the London Stock Exchange under different publication rules

• 成果类型: Article
• 署名作者: Gemmill, G
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329537
• 发表日期: 1996
• 页码: 1765-1790
• 关键词: INSTITUTIONAL TRADES; BEHAVIOR; INFORMATION; MARKET; prices

摘要

This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size relates more closely to market volatility than to speed of publication. There is therefore no gain in liquidity from delayed publication.