Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE

  • Published: Mar 02, 2005
  • Pages: 783-815
  • DOI: 10.1111/j.1540-6261.2005.00746.x


We study pre‐trade transparency by looking at the introduction of NYSE's OpenBook service that provides limit‐order book information to traders off the exchange floor. We find that traders attempt to manage limit‐order exposure: They submit smaller orders and cancel orders faster. Specialists' participation rate and the depth they add to the quote decline. Liquidity increases in that the price impact of orders declines, and we find some improvement in the informational efficiency of prices. These results suggest that an increase in pre‐trade transparency affects investors' trading strategies and can improve certain dimensions of market quality.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login


Members' Options

Site Footer

View Mobile Version