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Commonality in intraday liquidity and multilateral trading facilities : evidence from Chi-X Europe
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Klein, Olga and Shiyun, Song (2021) Commonality in intraday liquidity and multilateral trading facilities : evidence from Chi-X Europe. Journal of International Financial Markets, Institutions and Money, 73 . 101349. doi:10.1016/j.intfin.2021.101349
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Official URL: https://doi.org/10.1016/j.intfin.2021.101349
Abstract
This paper examines the effects of Chi-X, a pan-European multilateral trading facility, on intraday liquidity co-movements within European equity markets. Chi-X enables simultaneous trading of all European equities on a single trading platform. Further, it induces an increase in multi-market trading between Chi-X and the home exchange, connecting individual markets in a single network. Greater market consolidation combined with an increase in multi-market trading should induce stronger network-wide liquidity co-movements. Consistent with our predictions, we find that Europe-wide liquidity co-movements increase after the Chi-X entry. The increase is stronger in down markets and for stocks with more intense trading on Chi-X.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Chi-X Europe Limited, Stocks , Liquidity (Economics), Commodity exchanges | ||||||||
| Journal or Publication Title: | Journal of International Financial Markets, Institutions and Money | ||||||||
| Publisher: | Elsevier Inc. | ||||||||
| ISSN: | 1042-4431 | ||||||||
| Official Date: | July 2021 | ||||||||
| Dates: |
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| Volume: | 73 | ||||||||
| Article Number: | 101349 | ||||||||
| DOI: | 10.1016/j.intfin.2021.101349 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
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