Replication Package for: Who Clears the Market When Passive Investors Trade?

This replication package contains all code needed to replicate tables and figures in the paper. To run the replication file, set the path variables in `run_analysis.do` to the location of the replication folder, then run `run_analysis.do`. That file automatically installs the needed Stata packages, runs all files to clean the data, run the analysis, and produce the tables and figures. Importantly, the files are run in order to generate all the needed intermediate files. We include dummy data (i.e., pseudo-data), which is a subset and randomized dataset of the raw data files we use. This is done to protect data we do not have the right to distribute. With the raw data files, the package takes about 1 hour to run based on the specifications below. With dummy data, it takes about 10 minutes. All code runs automatically and produces all tables and figures in the paper. Tables are reformatted manually using Excel. Specifically the file "Tables.xlsx" in the output folder contains the formatted versions of the tables based on the raw output. The authors have verified that the code runs automatically from `run_analysis.do` with both the raw data and the raw dummy data (switching can be done by changing the global variable flag in the `run_analysis.do` file). NOTE: the dummy data does not replicate the results in the paper, it is meant to demonstrate that the replication code works and how it works. Replacing the dummy version with the complete datasets from widely-accessible data providers will reproduce the results in the paper. The code is licensed under the MIT license. See LICENSE.txt for details.