Differential Access to Price Information in Financial Markets

Easley, D; O'Hara, M; Yang, L

Differential Access to Price Information in Financial Markets

Easley, D O'Hara, M Yang, L

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Publication Type:: Journal Article
Citation:: Journal of Financial and Quantitative Analysis, 2016, 51 (4), pp. 1071 - 1110
Issue Date:: 2016-08-01

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Full metadata record

Field	Value	Language
dc.contributor.author	Easley, D	en_US
dc.contributor.author	O'Hara, M	en_US
dc.contributor.author	Yang, L	en_US
dc.date.issued	2016-08-01	en_US
dc.identifier.citation	Journal of Financial and Quantitative Analysis, 2016, 51 (4), pp. 1071 - 1110	en_US
dc.identifier.issn	0022-1090	en_US
dc.identifier.uri	http://hdl.handle.net/10453/74250
dc.description.abstract	© Copyright 2016 Michael G. Foster School of Business, University of Washington. Recently, exchanges have been directly selling market data. We analyze how this practice affects price discovery, the cost of capital, return volatility, market liquidity, information production, and trader welfare. We show that selling price data increases the cost of capital and volatility, worsens market efficiency and liquidity, and discourages the production of fundamental information relative to a world in which all traders observe prices. Generally, allowing exchanges to sell price information benefits exchanges and harms liquidity traders. Overall, our results suggest that regulations on selling market data can play an important role in improving market quality and trader welfare.	en_US
dc.relation.ispartof	Journal of Financial and Quantitative Analysis	en_US
dc.relation.isbasedon	10.1017/S0022109016000491	en_US
dc.subject.classification	Finance	en_US
dc.title	Differential Access to Price Information in Financial Markets	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	51	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	51	en_US

Abstract:

© Copyright 2016 Michael G. Foster School of Business, University of Washington. Recently, exchanges have been directly selling market data. We analyze how this practice affects price discovery, the cost of capital, return volatility, market liquidity, information production, and trader welfare. We show that selling price data increases the cost of capital and volatility, worsens market efficiency and liquidity, and discourages the production of fundamental information relative to a world in which all traders observe prices. Generally, allowing exchanges to sell price information benefits exchanges and harms liquidity traders. Overall, our results suggest that regulations on selling market data can play an important role in improving market quality and trader welfare.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/74250