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.

Alex Frino, Luca Galati, Dionigi Gerace (2022). Reporting delays and the information content of off-market trades. THE JOURNAL OF FUTURES MARKETS, 42(11), 2053-2067 [10.1002/fut.22334].

Reporting delays and the information content of off-market trades

Luca Galati
Secondo
Writing – Original Draft Preparation
;
2022

Abstract

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.
2022
Alex Frino, Luca Galati, Dionigi Gerace (2022). Reporting delays and the information content of off-market trades. THE JOURNAL OF FUTURES MARKETS, 42(11), 2053-2067 [10.1002/fut.22334].
Alex Frino; Luca Galati; Dionigi Gerace
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/957117
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