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The sensitivity of trading to the cost of information
Author(s) -
Frino Alex,
Kovačević Ognjen,
Mollica Vito,
Webb Robert I.
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22152
Subject(s) - price discovery , futures contract , crude oil , economics , financial economics , business , econometrics , engineering , petroleum engineering
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.