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Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation
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no DOI — not checkedPrice impact (PrImp) measures the informativeness of trades (adverse selection cost), and the realized spread (RSpr) measures how much of the effective spread is earned by the liquidity provider. Price impact and realized spread are measured over a 5-second horizon after the trade. High-speed trading proxies are: message traffic per volume in shares (MTVSh), message traffic per trade (MTTrd), cancellations per volume in shares (CANVSh), cancellations per trade (CANTrd), quote intensity per volume in shares (QIntVSh), and quote intensity per trade (QIntTrd)
no DOI — not checkedPrice impact (PrImp) measures the informativeness of trades (adverse selection cost), and the realized spread (RSpr) measures how much of the effective spread is earned by the liquidity provider. Price impact and realized spread are measured over a 5-second horizon after the trade. The explanatory variable of interest is the dummy for the second short-sale ban period
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