Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe

Klein, Olga; Song, Shiyun

doi:10.1016/j.intfin.2021.101349

Cited by 6 publications

(2 citation statements)

References 37 publications

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“…Their study provides a comprehensive view of the inter-market determinants across time and countries. Financial markets have transformed over the last decade due to technology advancements, and co-movements in liquidity have increased following the introduction of high frequency trading ( Malceniece et al, 2019 ) and the consolidation of trading venues ( Klein and Song, 2021 ).…”

Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

COVID-19 pandemic and liquidity commonality

Suardi

Zhou

2022

Journal of International Financial Markets, Institutions and Mo

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Section: Literature Review and Hypotheses Developmentmentioning

confidence: 99%

COVID-19 pandemic and liquidity commonality

Suardi

Zhou

2022

Journal of International Financial Markets, Institutions and Mo

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“…It should be noted that both the market liquidity and its patterns may change over time (Malik and Ng 2014). A greater interconnection of markets with each other, along with the possibility of parallel trade on them, makes the liquidity of one market closely correlate with the other (Klein and Song 2021). A broader discussion of the intraday patterns can be found in many studies (Bildik 2001;Chelley-Steeley and Park 2011;Krishnan and Mishra 2013;Kumar and Misra 2015).…”

Section: Intraday Patterns Of Liquidity On the Stock Marketsmentioning

confidence: 99%

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

Kubiczek

Tuszkiewicz

2022

IJFS

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A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information efficiency. The COVID-19 pandemic affected many aspects related to stock markets, including their liquidity. The impact of the pandemic is so multidimensional that there are still areas that need to be investigated. One of them is the intraday liquidity patterns on the stock markets. Therefore, the present paper aims to verify the existence of intraday liquidity patterns on the Warsaw Stock Exchange in three periods: before, during and after the panic caused by the first wave of the COVID-19 pandemic. The results confirmed the existence of a U-shaped intraday distribution of the number of transactions and their trading. This outcome highlights the importance of the first and last minutes of a trading session. The COVID-19 pandemic resulted in the domination of WSE transactions of small individual investors who feared the loss of value of their assets, selling them on the stock exchange. In the pandemic, the average percentage change between transactions increased.

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