Shanghai Stock Exchange and Shenzhen Stock Exchange increased the real-time public dissemina- tion of limit order book from the 3 best ask and bid quotes to 5 best on December 8,2003.This paper studies the effects of this event to improve transparency on the market quality.The authors find that informational effi- ciency of price is improved,the market liquidity increases,volatility of the price decreases and the component of asymmetric information in the bid-ask spread is reduced after the two ...