鑑於過去文獻對限價委託簿透明度增加是否可改善證券市場品質未有定論，本論文的目的即是要探討限價委託簿透明度對證券市場品質的影響。2003年1月1日，台灣證券交易所將限價委託簿的揭露檔次，由原先揭露上下一檔，擴大為揭露上下五檔。這項制度變革，讓我們有機會檢視限價委託簿透明度對市場流動性與效率性的影響。本研究以2002年7月1日至2003年6月30日這段期間台灣證券交易所的500家上市公司為研究對象，運用有效價差、周轉率、流動性比率作為流動性指標，並運用自我相關係數與判定係數作為效率性指標。本研究的實證結果發現：(1)在流動性方面，較高的透明度會伴隨著較低的有效價差、較高的周轉率與流動性比率；(2)在效率性方面，較高的透明度也會使報酬正序列相關的程度愈高，個股與市場的同步性也愈大；(3)不論是流動性或效率性的分群分析，這項制度變革對高成交量的股票影響較大；(4)在控制個股股性的影響下，本研究的實證結論仍然穩健，即限價委託簿透明度增加，會提高流動性，並降低效率性。

This dissertation analyzes the impact of pre-trade transparency on market quality. There is no consensus in the literature on whether an increase in pre-trade transparency results in an improvement in market quality. On January 1, 2003, the Taiwan Stock Exchange disclosed unexecuted orders of the best five bid and ask prices to market participants. This rule change provides an opportunity to examine the impact of transparency on liquidity and efficiency. The sample involves 500 stocks listed on the Taiwan Stock Exchange over the one-year period from July 1, 2002 to June 30, 2003. This study adopts effective spread, turnover ratio, and Amivest liquidity ratio as the proxies of liquidity, and uses autocorrelation and R-square as the proxies of efficiency. The empirical results are as follows. First, higher transparency is significantly associated with lower effective spread, higher turnover ratio, and higher liquidity ratio. Second, higher transparency leads to higher positive autocorrelation and higher R-square significantly. Third, increased transparency has greater impact in the stock groups with higher trading volume, either on liquidity or efficiency. Finally, the results remain robust under controlling stock characteristics. Thus, this study concludes that better liquidity and worse efficiency following the change in pre-trade transparency.

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