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| 01778nam 2200313za 4500 |
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| 001 | 9.816631 |
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| 003 | CaOODSP |
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| 005 | 20221107142307 |
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| 007 | cr ||||||||||| |
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| 008 | 160502s2016 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-20E-PDF |
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| 100 | 1 |aGarriott, Corey. |
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| 245 | 10|aRetail order flow segmentation |h[electronic resource] / |cby Corey Garriott and Adrian Walton. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2016. |
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| 300 | |aiii, 49 p. : |bfig., tables |
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| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-20 |
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| 500 | |a"April 2016." |
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| 504 | |aIncludes bibliographical references (p. 33). |
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| 520 | 3 |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. |
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| 692 | 07|2gccst|aRetail trade |
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| 692 | 07|2gccst|aCapital markets |
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| 692 | 07|2gccst|aPricing |
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| 700 | 1 |aWalton, Adrian. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-20|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s762 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-20-eng.pdf |
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