Reporting delays and the information content of off-market trades

This paper examines the impact of reporting delays in off-market trades on informed trading and information efficiency. We examine this issue using a natural experiment in Financial Times Stock Exchange futures contracts provided by the Intercontinental Exchange, which eliminated the ability of market participants to request a delay in reporting smaller sized off-market trades in 2018. We find that, while reporting delays increase the time taken to release information to the market by the length of the reporting delay, thereby prima facie reducing information efficiency, such delays encourage informed trading and potentially increase the informativeness of trading and, therefore, information efficiency.