The Canadian Securities Administrators (CSA) has named three researchers with expertise in the structure of Canadian equities markets to develop a pilot study that will examine the impact of trading fees and rebates on dealers’ order routing behaviour as well as execution quality and market quality.
The group, which will design and conduct the pilot study, includes: Katya Malinova, associate professor and Mackenzie Investments chairwoman in evidence-based investment management McMaster University’s DeGroote School of Business; Andriy Shkilko, associate professor of finance and Canada research chairman in financial markets at Wilfrid Laurier University’s Lazaridis School of Business and Economics. Professor; and Andreas Park, associate professor of finance at the University of Toronto’s Mississauga, Ont., campus and the Rotman School of Management, and research director at the Rotman FinHub.
Malinova is an expert on financial market structure, including trading fees and rebates, dark trading, high-frequency trading and technological innovation. Shkilko’s research focuses on securities trading and the structure of financial markets, including the effects of trading fees and rebates on market quality and order routing in U.S. options. And Park’s areas of expertise include fintech and financial market trading, and the economic impact of technological transformations on financial markets.
The research group will determine the design of the proposed Canadian pilot study using the U.S. Securities and Exchange Commission’s (SEC) proposed transaction fee pilot as a basis and work with the CSA on stakeholder consultations as well as finalizing and implementing the pilot study.
Malinova, Shkilko and Park also will conduct ongoing data analysis, compile research reports on the progress of the pilot study and produce a final report once the pilot study is complete. The CSA intends to publish a notice and request for comment on the proposed pilot study this autumn.
The researchers plan to gather preliminary feedback on the design and scope of the study at an event hosted by the Capital Markets Institute at the University of Toronto’s Rotman School of Management on Sept. 12, before publishing the proposed pilot study for comment.
The CSA published a notice this past March that outlined the consideration of a pilot study following the SEC’s publication of a proposed transaction fee pilot.