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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

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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
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
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:
DateEvent
July 2021Published
19 May 2021Available
29 April 2021Accepted
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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