| 000 | 00000nam 2200000za 4500 |
| 001 | 9.816631 |
|---|
| 003 | CaOODSP |
|---|
| 005 | 20221107142307 |
|---|
| 007 | cr ||||||||||| |
|---|
| 008 | 160502s2016 oncd ob f000 0 eng d |
|---|
| 040 | |aCaOODSP|beng |
|---|
| 041 | |aeng|bfre |
|---|
| 043 | |an-cn--- |
|---|
| 086 | 1 |aFB3-5/2016-20E-PDF |
|---|
| 100 | 1 |aGarriott, Corey. |
|---|
| 245 | 10|aRetail order flow segmentation |h[electronic resource] / |cby Corey Garriott and Adrian Walton. |
|---|
| 260 | |a[Ottawa] : |bBank of Canada, |c2016. |
|---|
| 300 | |aiii, 49 p. : |bfig., tables |
|---|
| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-20 |
|---|
| 500 | |a"April 2016." |
|---|
| 504 | |aIncludes bibliographical references (p. 33). |
|---|
| 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. |
|---|
| 692 | 07|2gccst|aRetail trade |
|---|
| 692 | 07|2gccst|aCapital markets |
|---|
| 692 | 07|2gccst|aPricing |
|---|
| 700 | 1 |aWalton, Adrian. |
|---|
| 710 | 2 |aBank of Canada. |
|---|
| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-20|w(CaOODSP)9.806221 |
|---|
| 856 | 40|qPDF|s762 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-20-eng.pdf |
|---|