Speaker: James Brugler
Institution: University of Melbourne
Date/Time: 11:00-12:00, Friday 13 August 2021
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 demand for data, and that their response to the introduction of data fees on one exchange can reverberate throughout the stock market.
Please email RSFAS seminars for registration details.
All information collected by the University is governed by the ANU Privacy Policy.