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Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules

Gordon Gemmill
The Journal of Finance
Vol. 51, No. 5 (Dec., 1996), pp. 1765-1790
Published by: Wiley for the American Finance Association
DOI: 10.2307/2329537
Stable URL: http://www.jstor.org/stable/2329537
Page Count: 26
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Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication Rules
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Abstract

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.

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