Retail Order Flow Segmentation

Corey Garriott and Adrian Walton

Staff Working Papers from Bank of Canada

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.

Keywords: Financial markets; Financial system regulation and policies; Market structure and pricing (search for similar items in EconPapers)
JEL-codes: G14 G20 L10 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2016
New Economics Papers: this item is included in nep-mst and nep-pke
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-20

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