Competition and Exchange Data Fees

65 Pages Posted: 2 Nov 2020 Last revised: 19 Sep 2022

See all articles by Jonathan Brogaard

Jonathan Brogaard

University of Utah - David Eccles School of Business

James Brugler

University of Melbourne - Department of Finance

Dominik Rösch

State University of New York at Buffalo - School of Management

Date Written: September 19, 2022

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, time with competitive quotes, visible liquidity, and 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.

Keywords: Data Fees, Exchange Competition

JEL Classification: G12, G14

Suggested Citation

Brogaard, Jonathan and Brugler, James and Rösch, Dominik, Competition and Exchange Data Fees (September 19, 2022). Available at SSRN: https://ssrn.com/abstract=3703431 or http://dx.doi.org/10.2139/ssrn.3703431

Jonathan Brogaard

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States

HOME PAGE: http://www.jonathanbrogaard.com

James Brugler (Contact Author)

University of Melbourne - Department of Finance ( email )

Faculty of Business and Economics
Parkville, Victoria 3010 3010
Australia

Dominik Rösch

State University of New York at Buffalo - School of Management ( email )

Jacobs Management Center
Buffalo, NY 14222
United States

HOME PAGE: http://dominikroesch.com

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