Reporting delays and the information content of off-market trades

Alex Frino; Luca Galati; Dionigi Gerace

doi:10.1002/fut.22334

Reporting delays and the information content of off-market trades

Alex Frino, Luca Galati^*, Dionigi Gerace

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

16 Downloads (Pure)

Abstract

This paper examines the impact of reporting delays in off-market trades on informed trading and information efficiency. We examine this issue using a natural experiment in Financial Times Stock Exchange futures contracts provided by the Intercontinental Exchange, which eliminated the ability of market participants to request a delay in reporting smaller sized off-market trades in 2018. We find that, while reporting delays increase the time taken to release information to the market by the length of the reporting delay, thereby prima facie reducing information efficiency, such delays encourage informed trading and potentially increase the informativeness of trading and, therefore, information efficiency.

Original language	English
Pages (from-to)	2053-2067
Number of pages	15
Journal	Journal of Futures Markets
Volume	42
Issue number	11
DOIs	https://doi.org/10.1002/fut.22334
Publication status	Published - Nov 2022

Bibliographical note

Copyright © 2022 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

block trades
deferred publication
informed trading
market microstructure
price impact

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10.1002/fut.22334Licence: CC BY

Publisher version (open access)Final published version, 1.21 MBLicence: CC BY

Cite this

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Reporting delays and the information content of off-market trades

Abstract

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Keywords

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