Information Disclosure and Market Quality: The Effect of SEC Rule 605 on Trading Costs
研究美国SEC规则605要求市场中心每月公开披露执行质量后，NYSE、AMEX和NASDAQ股票的有效价差和报价价差显著下降，且不能归因于长期趋势、股票属性变化或十进制定价，表明规则提升了市场质量。
Abstract The Securities and Exchange Commission (SEC) adopted Rule 605 (formerly Rule 11Ac1–5) on November 15, 2000. The Rule requires market centers to make monthly public disclosure of execution quality. The Rule is intended to achieve a more competitive and efficient national market system by increasing the visibility of execution quality. The effective and quoted spreads for our study sample of NYSE, AMEX, and NASDAQ stocks declined significantly after implementation of the Rule. The decline cannot be attributed to a secular trend in spreads, concurrent changes in stock attributes, or the effect of decimal pricing. Although the quoted depth of NYSE stocks also declined, overall market quality is higher after implementation of the Rule. Based on these results, we conclude that the SEC's goal to improve execution quality through more transparent markets has been achieved.