Reporting Delays and the Information Content of Off-Market Trades

28 Pages Posted: 23 Nov 2021

See all articles by Alex Frino

Alex Frino

University of Wollongong

Luca Galati

University of Wollongong; Rozetta Institute

Dionigi Gerace

The University of Sydney

Date Written: July 15, 2021

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 FTSE futures
contracts provided by the ICE Exchange which eliminated the ability of market participants to
request a reporting delay in smaller sized off-market trades in 2018. We find strong evidence
of a decrease in the permanent price impact of experimental trades whose reporting could no
longer be delayed. In contrast, we find no evidence of a change in the permanent price reaction
of a control sample that experienced no change in reporting delays. This evidence is consistent
with the proposition that the elimination of reporting delays squeezes informed traders out of
the market. We conclude 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, that such delays encourage informed trading and therefore potentially
increase the informativeness of trading and information efficiency.

Keywords: block trades, deferred publication, futures markets, market microstructure, post-trade transparency, price impact.

JEL Classification: C58, D82, G13, G14, G18

Suggested Citation

Frino, Alex and Galati, Luca and Gerace, Dionigi, Reporting Delays and the Information Content of Off-Market Trades (July 15, 2021). Available at SSRN: https://ssrn.com/abstract=3966380 or http://dx.doi.org/10.2139/ssrn.3966380

Alex Frino

University of Wollongong ( email )

Northfields Avenue
Wollongong, New South Wales 2522
Australia

Luca Galati (Contact Author)

University of Wollongong ( email )

Northfields Avenue
Wollongong, NSW 2522
Australia

Dionigi Gerace

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
28
Abstract Views
235
PlumX Metrics