Recently, the speed of order matching systems on financial exchanges has been increasing due to competition between markets and due to large investor demands. There is an opinion that this increase is good for liquidity by increasing the number of traders providing liquidity. On the other hand, there is also the opposite opinion that this increase might destabilize financial markets and increase the cost of such systems and of investors' order systems. We investigated price formations and market efficiency for various ``latencies'' (length of time required to transport data); while other settings remained the same, by using artificial market simulations which model is a kind of agent based models. The simulation results indicated that latency should be sufficiently smaller than the average order interval for a market to be efficient and clarified the mechanisms of the direct effects of latency on financial market efficiency. This implication is generally opposite to that in which the increase in the speed of matching systems might destabilize financial markets.