An examination of the NYSE’s retail liquidity program

Pankaj K. Jain, Jared A. Linna and Thomas H. McInish

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 367-373

Abstract: The NYSE's Retail Liquidity Program (RLP) is a novel, restricted-access venue, in which orders cannot originate from a trading algorithm or any other computer methodology, designed to attract retail orders by offering price improvement. The mean price improvement in the RLP is about $0.0038 per share. RLP trades occur on 50.2 % of days, and on these days, the spread is one-cent 42 % of the time compared with a little less than 33 % of the time for other days. Greater tick-size constraint leads to more RLP trades, and the quoted spread is lower on days with RLP trading. Thus, the RLP sorting mechanism appears to reduce lit market liquidity suppliers' adverse selection concerns and enables them to provide better sub-penny prices to retail traders on lit markets.

Keywords: NYSE retail liquidity program; Dark pools; Market fragmentation (search for similar items in EconPapers)
JEL-codes: G14 G20 L10 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976921000545
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:367-373

DOI: 10.1016/j.qref.2021.03.009

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().