The effects of increased transparency on market liquidity : empirical evidence from Thai bond market

Abstract

To increase transparency, Thai Bond Market Association (ThaiBMA) issues the notification of disclosure of transaction information and control for post-trade deferred publication. Dealers are required to report all required trading information to ThaiBMA within 30 minutes after execution for public dissemination. The rules are issued for improved the market efficiency and increased customer activity. Moreover, ThaiBMA issues the penalty for Late Transaction to punish dealer. However, increasing transparency leads to an improvement on market liquidity. This paper examines the effect of post-trade transparency on market liquidity in the Thai bond market, measured by bid-offer quoted in terms of their yield to maturity (YTM) on government bonds. The result show that there is a significant difference between the impact of increased transparency on spread. Moreover, this study shall examine the effect of delayed time on the market liquidity. However, there is not enough statistical evidence to conclude that the impact of delay time on spread is significantly differences across periods.