000 01778nam  2200313za 4500
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008160502s2016    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2016-20E-PDF
1001 |aGarriott, Corey.
24510|aRetail order flow segmentation |h[electronic resource] / |cby Corey Garriott and Adrian Walton.
260 |a[Ottawa] : |bBank of Canada, |c2016.
300 |aiii, 49 p. : |bfig., tables
4901 |aStaff Working Paper, |x1701-9397 ; |v2016-20
500 |a"April 2016."
504 |aIncludes bibliographical references (p. 33).
5203 |aIn 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.
69207|2gccst|aRetail trade
69207|2gccst|aCapital markets
69207|2gccst|aPricing
7001 |aWalton, Adrian.
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-20|w(CaOODSP)9.806221
85640|qPDF|s762 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-20-eng.pdf