Abstract
Using data from the first phase implementation of the Toronto Stock Exchange (TSX) Long life order type on November 30, 2015, we estimate market quality, execution quality and price discovery metrics in order to investigate the impact of the new order type on 26 eligible stocks listed on the TSX. Using a difference-in-difference method, this study finds a 0.016% increase in the number of active or fleeting orders, a 0.015% decrease in the number of passive orders, a 0.009% decline in the fill rate and a 34 units increase in order to trade ratio. We also find marginal improvement in market quality and price discovery metrics. We find a 4.41 bps decrease in quoted spread, 8.77 bps decrease in effective spread, a 4.15 bps decrease in realized spread and a 6.07 bps decrease in price impact. Furthermore, the study finds a 0.002 decrease in mid-quote return autocorrelation, a 0.00003% decrease in short-term volatility and a 0.017 decrease in delay metric.
Published Version
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