| Abstract: | The transparency of the securities market reveals the extent of transaction information transmission to traders. According to the relative trading position, it can be divided into pre-trade transparency and post-trade transparency. Using Shanghai Stock market high frequency trading data, this paper builds an econometric model and analyzes the market effect of two important changing pre－trading transparency events. The empirical result hows that the pre－trade transparency changing has no significant effect on market liquidity. The expansion from 3－layer bid－and－ask price to 5－layer obviously lifts the stock price, leading to the U－shape change in volatility and trading volume. However, the 5－layer bid－and－ask price expansion to 10－layer in level 2 shows no significant effect. |
