To enhance our understanding of emerging markets, we study a data set from the Casablanca stock exchange containing all the transaction records over a long span. The exchange was included in 1996 in the International Finance Corporation (IFC) data base roughly 3 years after important market reforms. Effective spreads as well as the price impact of large block trades are examined. We uncover prohibitively expensive trading costs which are temporary, yet last for over a year and coincide with the incorporation of the market into the IFC data base. This temporary effect is followed by transaction costs roughly equal to the pre-reforms era. The results we obtain do not support the conventional wisdom that market transparency and trading costs enhance, at least directly, the emergence of a market.