The sensitivity of trading to the cost of information

Alex Frino, Ognjen Kovačević*, Vito Mollica, Robert I. Webb

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

We examine the impact of changes in real-time data access fees on price discovery in the crude oil futures market. Specifically, we examine differences in price discovery in the West Texas Intermediate crude oil futures contracts traded on two exchanges around three events corresponding to changes in real-time data access fees. We document a decrease in price discovery following two events that increase data access costs. These findings are consistent with the theoretical predictions of Cespa and Foucault that increases in data access costs reduce the number of market participants trading on real-time data and adversely impact price discovery.

Original languageEnglish
Pages (from-to)1631-1644
Number of pages14
JournalJournal of Futures Markets
Volume40
Issue number10
Early online date8 Aug 2020
DOIs
Publication statusPublished - Oct 2020

Keywords

  • market data fees
  • market efficiency
  • price discovery

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