Connectivity costs and price efficiency: An event study
研究了Eurex交易所两次自然实验（技术升级降低延迟、降低直接接入费）对Euro Stoxx 50指数期货和ETF套利频率、持续时间及盈利性的影响，发现套利减少、市场效率提升。
Abstract This paper investigates the impact of changes in the speed and pricing of direct market access on market efficiency, as measured by the frequency, duration, and profitability of arbitrage strategies. Two natural experiments on the Eurex exchange are identified: an exchange‐wide improvement in technology reducing message latency, and a reduction in the direct exchange access fee. We analyze their impact on the trading of Euro Stoxx 50 Index futures and the Xtrackers Euro Stoxx 50 Ucits ETF. A decrease in the frequency and duration of arbitrages following both events is observed.