台灣證卷交易所(Taiwan Stock Exchange)分別在2002年中及2003年初有交易制度的改變，第一次交易制度的改變為揭露了未成交最佳一檔的買賣價及量的資訊，而在第二次交易制度的改變則是揭露了未成交最佳五檔的買賣價及量的資訊，這個交易制度的改變無形中提高了市場上的透明度，恰好也提供了我們一次研究這個議題的機會；因此我們用日內交易的資料來研究這項制度的改變會對市場上造成怎樣的影響。
　　此篇研究架構可分成四部份:資訊不對稱、流動性、波動性、效率性，兩次交易制度改革造成的結果並不完全一致。在第一次接露最佳一檔買賣價量資訊時，資訊不對稱下降，部分流動性的衡量變數是增加的，但到了第二次接露最佳五檔買賣價量資訊時，結果卻相法過來；而波動性部分，結果在兩次制度改變下，他的結果都是顯示下降的；而效率性部分，用新的效率性衡量變數來衡量，結果顯示制度改變後效率變佳。總結來說，結果部份支持我們的假設。
　　本篇研究亦將全部樣本以公司市值大小分成五群樣本，去探討他們之間的差異，結果顯示高市值的公司有比較高的資訊不對稱、價差、波動性及較短的投資人交易等待時間，而大小公司在股票市場中性質的差異可能是造成這些結果的原因。而其他有些變數(例如變異數比例)，樣本之間的差距並不明顯。

　　This paper researches the change of stock market when transparency is higher. Taiwan Stock Exchange(TSE) had two reforms in 2002 and 2003, respectively. TSE disclosed the volume of the best bid/ask price during the first reform and disclosed the best five bid/ask prices during the second reform. The reform is to enhance the degree of transparency so that investors can observe more information and also gives us the opportunity to research this issue. Here we use the intra-data to see how the reform influences the market.
　　Our study can be divided into four parts：information asymmetry, liquidity, volatility and efficiency. Our study does not show consistent results during the two reforms. Information asymmetry cost decreases and some of the liquidity measures, like spread, display the increase over the first reform. Nevertheless, they reverse over the second reform and they also decrease after the two reforms.. Volatility shows the consistent results that they indeed decrease over the two reforms. Efficiency measures show the diverse results and alternative variance-ratio presents that market is more efficient when transparency is higher. To sum up, the results partly support our hypothesis.
　　We also classify our whole sample into five portfolios based on firm value and do the multiple comparison test to test if there is difference between all portfolios. The result shows that stocks of larger-firms have higher information asymmetry, spread, volatility and shorter holding period. Besides, some measures could not show the significant difference between the portfolios, i.e. efficiency(variance ratio and alternative variance ratio). These results are partly due to the characteristics difference between larger firms and smaller firms.

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