A seminar by Dr James Brugler from the University of Melbourne
Title: Competition and Exchange Data Fees
Co-author: Jonathan Brogaard and Dominik Roesch
Abstract: We investigate how the introduction of market data fees impacts trading and market quality. We find that data fees decrease the fee-introducing exchange’s market volume, its time with competitive quotes, its visible liquidity, and its role in price discovery. We observe brokers routing market and limit orders away from the impacted exchange. Market-wide the fee introduction decreases visible depth and price discovery. The results indicate that some traders have an elastic demand for data, and that their response to the introduction of data fees on one exchange can reverberate throughout the stock market.
For further information, please contact RSFAS Seminars.
All information collected by the University is governed by the ANU Privacy Policy.