| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 104 === In order to improve pre-market information disclosure transparency, Taiwan Futures Exchange and Taiwan Stock Exchange have implemented “information disclosure prior to opening” policies that disclose simulated transaction price, trading volume, five best bid/ask prices, and bid/ask volumes in 2014 and 2015, respectively. This paper aims to examine whether the improvement of pre-market information disclosure transparency can enhance market quality measures, such as trading volume, liquidity and volatility. We collect intraday data within the opening five minutes or one minute by November 2013 to December 2014 and December 2014 to December 2015. The empirical results show that three market quality measures are significantly impacted after the improvement of pre-market information disclosure transparency.
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