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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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Retail order flow segmentation / by Corey Garriott and Adrian Walton. |
| Series title | Staff Working Paper, 1701-9397 ; 2016-20 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "April 2016." Includes bibliographical references (p. 33). |
| Publishing information | [Ottawa] : Bank of Canada, 2016. |
| Author / Contributor | Garriott, Corey. Walton, Adrian. |
| Description | iii, 49 p. : fig., tables |
| Catalogue number |
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| Subject terms | Retail trade Capital markets Pricing |