Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/148127 
Title: 

Retail order flow segmentation

The document was removed on behalf of the author(s)/ the editor(s).

Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2016-20
Publisher: 
Bank of Canada, Ottawa
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
The document was removed on behalf of the author(s)/ the editor(s) on: July 31, 2018


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