systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity … spreads are negatively related to CN executions. Risk-sharing benefits from CN trading dominate fragmentation and cream …

-listed equities, this article compares the consolidated liquidity of competing markets, also called global liquidity, and the local … liquidity of the primary exchang, before and after MiFID. It then investigates how liquidity measured by spreads and best …-quote depth relate to market fragmentation and internalization after MiFID. Market fragmentation is found to improve global and …

Despite the importance ETFs have recently gained, little is known about their liquidity. The conventional view on ETF … liquidity is that what really matters is not the size of the ETF or its trading volume but the liquidity of its benchmark index …. We argue that while creation/redemption effectively creates a tight link between the ETF and the index liquidity, other …

It is usually thought that network externalities, which are inherent to liquidity, make it desirable to concentrate … transactions in one stock exchange. This paper shows that when the value of liquidity stems from the ability of potentially reach …. Thus, fragmentation is not about trades being executed in different exchanges but of connectedness among brokers. An …

differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment …

break local price trends, make liquidity suppliers revise positions, and enhance price discovery. In contrast, pauses do not …