Plausibly Exogenous [696] - Trading Glitch (12/15/2021)
LHS Variable
Stock liquidity and institutional trading costs
RHS Variable
Risk-bearing capacity of investors
Source of Exogenous Variation
Major trading glitch at a large high-frequency market-making firm (Knight Capital, henceforth KC): the glitch—originating from the erroneous implementation of a trading software—occurred on August 1, 2012 during the first 30 minutes of trading and resulted in numerous erroneous trades on a set of NYSE-listed stocks.
- Bogousslavsky, Collin-Dufresne, and Saglam (2021), “Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch”