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.

本文研究了泛欧多边交易工具 Chi-X 对欧洲股票市场日内流动性联动的影响。Chi-X 可以在一个交易平台上同时交易所有欧洲股票。此外，它还导致 Chi-X 和本地交易所之间的多市场交易增加，将单个市场连接到一个网络中。更大的市场整合加上多市场交易的增加应该会导致更强大的全网络流动性联动。与我们的预测一致，我们发现在 Chi-X 进入后欧洲范围内的流动性联动增加。在低迷的市场和在 Chi-X 上交易更激烈的股票，涨幅更大。