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The Effect of Bid-Ask Order Disclosure Expanding on Chinese Stock Market Volatility
Author(s): 
Pages: 89-93
Year: Issue:  1
Journal: FINANCE AND TRADE RESEARCH

Keyword:  交易前透明性买卖盘揭示范围波动性;
Abstract: 2003年12月沪深股市扩大买卖盘揭示范围,大幅提高了市场的交易前透明度.本文分别用统计假设检验和计量经济学模型,实证分析了该政策实行前后的市场波动性是否有明显变化.结果表明,买卖盘揭示范围的这次调整,对中国股市的波动性没有明显影响;来自中国证券市场交易前透明性改革的实证结果,并不支持透明性在一定程度上影响市场质量的理论观点.
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