香港證券交易所於2002年3月25日，制定開盤前時段的新交易安排，目的是為了提高市場運作效率。本文之目的，為檢驗開盤前委託簿資訊透明度增加後，對於市場流動性及價格效率的影響。 市場流動性方面，是以價差和市場深度來衡量。實證結果首先指出日內價差型態為J型，深度則為反J型；其次，在市場透明度提高後，整體價差顯著地變寬，同時也發現價差會隨著交易活動程度的增加而變窄；進一步從價差分解的結果得知，交易活動程度高的組合樣本，其不對稱訊息成本佔隱含價差的比例顯著減少，表示在揭露開盤前時段委託簿的資訊後，活動程度高的投資者更願意下單，而交易活動程度低的交易者，因為透明度增加後，更不容易成交，使得流動性成本顯著增加，進而加大了價差寬度。 價格發現方面，是以買賣價中點報酬所反映的資訊量來衡量，實證結果指出，報酬中所包含的資訊會隨著交易過程的進行而逐漸增加，雜訊則會逐漸減少，所以在價格發現的過程中，均衡價格具有學習效果，價格效率在新的交易機制下可以充份發揮。 On March 25, 2002, Stock Exchange of Hong Kong introduces a new arrangement of extending trading session before open. The purpose of this study is to examine the impact of increasing transparency on bid-ask spreads, market depth, and price efficiency. The empirical results suggest that the intraday variations in spread display similarly J-shaped patterns, but the market depth shows a reverse J-shaped pattern. We also find that dollar and percentage quoted spread significant decrease as the trading activity increases. With the finding that wider spread after the new introduction, we suggest the asymmetric information component of spread may increase significantly following the open limit book of preopening trading session. The measurement of the amount of price discovery during preopening increases as the trading activity increases. Final, we also show in the context of price discovery process that the continuously increasing of the estimated slope of unbiasedness regression consists with more information incorporated into the price through the trading process.
