Retail Order Flow Segmentation Article Swipe
Related Concepts
Market liquidity
Business
Order (exchange)
Stock exchange
Quality (philosophy)
Finance
Industrial organization
Epistemology
Philosophy
Corey Garriott
,
Adrian Walton
·
YOU?
·
· 2018
· Open Access
·
· DOI: https://doi.org/10.3905/jot.2018.13.3.013
· OA: W3123459721
YOU?
·
· 2018
· Open Access
·
· DOI: https://doi.org/10.3905/jot.2018.13.3.013
· OA: W3123459721
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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