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The sensitivity of trading to the cost of information |
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| Authors: | Alex Frino Ognjen Kovačević Vito Mollica Robert I. Webb |
| Affiliation: | 1. Faculty of Business, School of Accounting, Economics and Finance, University of Wollongong, Wollongong, New South Wales, Australia;2. Department of Applied Finance, Macquarie Business School, Macquarie University, North Ryde, Sydney, New South Wales, Australia;3. McIntire School of Commerce, University of Virginia, Charlottesville, Virginia |
| 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. |
| Keywords: | market data fees market efficiency price discovery |