Modern societies use machine learning techniques to support complex decision-making processes (e.g., renewable energy and power demand forecasting in energy systems). Data fuels these techniques, so the quality of the data fed into them determines the accuracy of the results. While the amount of data is increasing with the adoption of internet-of-things, most of it is still private. Availability of data limits the application of machine learning. Scientists and industry pioneers are proposing a model that relies on the economics of data markets, where private data can be traded for a price. Cybersecurity analyses of such markets are lacking. In this context, our study makes two contributions. First, it designs a data market for electric vehicle charging stations, which aims to improve the accuracy of electric vehicle charging demand forecasts. Accurate demand forecasts are essential for sustainable operations of the electric vehicle - charging station - power grid ecosystem, which, in turn, facilitates the electrification and decarbonization of the transportation sector. On the other hand, erroneous demand forecasts caused by malicious cyberattacks impose operational challenges to the ecosystem. Thus, the second contribution of our study is to examine the feasibility of false data injection attacks on the data market for electric vehicle charging stations and to propose a defense mechanism against such attacks. We illustrate our results using data from electric vehicle charging stations in Manhattan, New York. We demonstrate that the data market improves forecasting accuracy of charging stations and reduces the effectiveness of false data injection attacks. The purpose of this work is not only to inform electric vehicle charging stations about the economic benefits of data markets, but to promote cyber awareness among data market pioneers and stakeholders.