Differential Access to Price Information in Financial Markets

被引：32
|
作者：
Easley, David [1 ]
O'Hara, Maureen [2 ,3 ]
Yang, Liyan [4 ,5 ]
机构：
[1] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
[2] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA
[3] Univ Technol Sydney, Sydney, NSW 2007, Australia
[4] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada
[5] Peking Univ, Beijing, Peoples R China
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2016年 / 51卷 / 04期
关键词：
LIQUIDITY; COMPETITION; INVESTMENT; DISCOVERY; INVESTORS; SALE;
D O I：
10.1017/S0022109016000491
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页码：1071 / 1110
页数：40
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