Frino, Alex
[Verfasser:in]
;
Kovacevic, Ognjen
[Sonstige Person, Familie und Körperschaft];
Mollica, Vito
[Sonstige Person, Familie und Körperschaft];
Webb, Robert I.
[Sonstige Person, Familie und Körperschaft]
The Sensitivity of Trading to the Cost of Information
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 10, 2019 erstellt
Beschreibung:
This study examines the impact of changes in data feed pricing schedules on the price discovery between competing venues, as espoused by Cespa & Foucault (2014). We utilize three exogenous events stemming from a staggered increase in the data feed price that transpired on the Chicago Mercantile Exchange and observe a decrease in the efficiency of price discovery following increases in the acquisition costs of exchange's data feeds, in line with the theory. Our results indicate that the regulators need to closely monitor any increases in data fees since these not only redistribute income from the traders to the exchanges but also affect the quality of the market via price discovery, one of the market's most important functions