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. |
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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 |
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