This paper studies the impact of public information on trading and market fragmentation in FTSE 100 stocks on the LSE and on Chi-X, the largest multilateral trading facility in Europe. We proxy daily public information through newswire messages which we di erentiate by their ex-ante sentiment....

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...