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



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    • City University Business School, London. This research was supported by the Office of Fair Trading, but the views expressed are solely those of the author, who would like to thank Ray Ball, Francis Breedon, Justin Coombs, Meziane Lasfer, Mario Levis, Claudio Loderer, Michael Parr, Ann Pope, René Stulz, and especially an anonymous referee for comments and suggestions. The paper has also benefitted from comments at seminars at the Bank of England, the European Finance Association, the London Business School, the London School of Economics, and the Office of Fair Trading. The provision of transactions and quote data by the London Stock Exchange is gratefully acknowledged.


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.