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.

中文翻译：

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流动性和多边贸易便利性的共同点

我们使用两个多边贸易工具（MTF）的引入来研究市场分散对流动性共同性的影响。我们发现，遵循《金融工具市场指令》引入的MTF会增加股票流动性与MTF流动性的联动，而与国内市场流动性的联动通常会减少。我们还发现，MTF交易量或交易股票的MTF数量越高，效果越强。此外，我们发现，对于不使用MTF进行交易的匹配的控制样本，流动性的通用性保持不变。