Toronto – The Canadian Securities Administrators (CSA) has awarded a research contract to develop a pilot study that will examine the impacts of trading fees and rebates on order routing behaviour by dealers, as well as execution quality and market quality. 

The CSA has selected the following group of researchers with expertise in Canadian equity market structure to design and conduct the pilot study:

• Katya Malinova, Associate Professor, Mackenzie Investments Chair in Evidence-Based Investment Management at the DeGroote School of Business, McMaster University. Professor Malinova is an expert on financial market structure, including trading fees and rebates, dark trading, high frequency trading, and technological innovation.
• Andriy Shkilko, Associate Professor of Finance and Canada Research Chair in Financial Markets at Laurier’s Lazaridis School of Business and Economics. Professor 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.
• Andreas Park, Associate Professor of Finance at the University of Toronto Mississauga and the Rotman School of Management, and Research Director at the Rotman FinHub. Professor Park’s areas of expertise include FinTech and financial market trading, and the economic impact of technological transformations on financial markets.

Using the United States Securities and Exchange Commission’s (SEC) Proposed Transaction Fee Pilot as a basis, the research group will determine the design of the proposed Canadian pilot study, and work with the CSA on stakeholder consultations, and finalizing and implementing the pilot study. The research group will also 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 in fall 2018.

Prior to publishing the proposed pilot study for comment, the researchers plan to gather preliminary feedback on the design and scope of the study at an event hosted by the Capital Markets Institute (CMI) at the Rotman School of Management, University of Toronto, on September 12, 2018. More information about the event, once available, will be published on CMI’s website.

In March 2018, the CSA published a notice, which outlined the CSA’s consideration of a pilot study, following the SEC’s publication of a Proposed Transaction Fee Pilot.

The CSA, the council of the securities regulators of Canada’s provinces and territories, co- ordinates and harmonizes regulation for the Canadian capital markets.

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