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The sensitivity of trading to the cost of information

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Listed:
  • Alex Frino
  • Ognjen Kovačević
  • Vito Mollica
  • Robert I. Webb

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.

Suggested Citation

  • Alex Frino & Ognjen Kovačević & Vito Mollica & Robert I. Webb, 2020. "The sensitivity of trading to the cost of information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1631-1644, October.
    • Handle: RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1631-1644
    DOI: 10.1002/fut.22152
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    References listed on IDEAS

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