Abstract Data is the new oil of the 21st century. The growing trend of trading data for greater welfare has led to the emergence of data markets. A data market is any structure whereby the exchange of data products takes place as a result of buyers and sellers being in contact with one another, either directly or through mediating agents. It serves as a new coordinating mechanism by which the prices of data are established in the interplay of supply and demand, and the allocation of data resources is facilitated. In this article, we present a comprehensive survey of this important and emerging direction from the aspects of data productization, revenue allocation, data pricing, data transaction, as well as privacy, security, and trust issues. We also investigate the government policies and industry status of data markets across different countries and different domains. Finally, we identify the unresolved challenges and discuss possible future directions for the development of data markets.