Retail order flow segmentation / by Corey Garriott and Adrian Walton. : FB3-5/2016-20E-PDF
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. A Hasbrouck (1991) structural vector autoregression shows that the facility increased the information content of the order flow by distinguishing retail trades from relatively more informed trades. A differences-in-differences event study finds that the RLP launch impacted market quality. Stocks with substantial RLP activity experienced mildly improved relative bid-ask spreads, effective spreads, price impacts and return autocorrelations in both the RLP and non-RLP segments.
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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Retail order flow segmentation / by Corey Garriott and Adrian Walton. |
| Titre de la série | Staff Working Paper, 1701-9397 ; 2016-20 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "April 2016." Includes bibliographical references (p. 33). |
| Information sur la publication | [Ottawa] : Bank of Canada, 2016. |
| Auteur / Contributeur | Garriott, Corey. Walton, Adrian. |
| Description | iii, 49 p. : fig., tables |
| Numéro de catalogue |
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| Descripteurs | Retail trade Capital markets Pricing |