Commonality in liquidity and multilateral trading facilities
研究了多边交易设施（MTFs）的引入如何影响股票流动性的共同性，发现MTFs增加了股票流动性与其自身共同性，但降低了与母市场的共同性。
Abstract We use the introduction of two multilateral trading facilities (MTFs) to examine the impact of market fragmentation on commonality in liquidity. We find that the introduction of MTFs following the Markets in Financial Instruments Directive increases the comovement of stocks’ liquidity with MTF liquidity, while the comovement with the home market liquidity generally decreases. We also find that the higher the MTF trading volume or the number of MTFs trading a stock, the stronger the effect. Further, we find that the commonality in liquidity remains unchanged for a matched control sample of stocks that do not trade on MTFs.