Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148127
Authors: 
Garriott, Corey
Walton, Adrian
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-20
Abstract: 
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.
Subjects: 
Financial markets
Market structure and pricing
Financial system regulation and policies
JEL: 
G20
G14
L10
Document Type: 
Working Paper

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