Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules
研究延迟发布大宗交易价格是否影响市场流动性，基于伦敦证券交易所三种发布规则下的5987笔交易数据，发现延迟发布不改善流动性，价差与市场波动性更相关。
This article examines whether reducing a market's transparency, by delaying the publication of prices for block trades, has any impact on liquidity. The analysis uses a sample of 5987 blocks from the London Stock Exchange that cover three different publication regimes: immediate (1987/88), 90 minutes (1991/92), and 24 hours (1989/90). Delaying publication does not affect the time taken by prices to reach a new level, which is rapid under all regimes. Spreads differ across years, but their size relates more closely to market volatility than to speed of publication. There is therefore no gain in liquidity from delayed publication.