Reporting Delays and the Information Content of Off-Market Trades

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