Order Protection Rule, Market Liquidity, and Price Discovery

 

 

Speaker: Chen Yao, The Chinese University of Hong Kong

 

This paper examines the impact of the Order Protection Rule on market liquidity and price discovery in North America. Using the difference-in-differences and two-stage least squares methodologies, we find market liquidity and price efficiency increases, and transaction cost decreases. We show that the result can be explained by the market fragmentation channel. Furthermore, we find the increased liquidity mainly happens to U.S. lit markets, and there is a significant improvement in national quoted prices and depth in small trading venues in the Canadian market.

 

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

               Building 8, Room 8.002, Dr Chau Chak Wing Building
               Dr Chau Chak Wing Building

              14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)