RT Journal Article
SR Electronic
T1 A Cross-Country Model for the Influence of the Pre-Trade Transparency on Market Liquidity and Price Volatility
JF The Journal of Trading
FD Institutional Investor Journals
SP 60
OP 75
DO 10.3905/jot.2008.708837
VO 3
IS 3
A1 Caterina Lucarelli
A1 Camilla Mazzoli
A1 Giulio Palomba
YR 2008
UL https://pm-research.com/content/3/3/60.abstract
AB In this article, 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, the analysis provides empirical evidence of a series of liquidity—volatility interconnections.TOPICS: Volatility measures, exchanges/markets/clearinghouses, global