consequently, (iii) a negligible impact on market liquidity and short-term price efficiency. These results show that quasi …

fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …

that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity … droughts on both venues disappear within less than one minute, the recovery is not lasting, as liquidity shocks spiral over the …

competition among liquidity suppliers and lower picking-off risk of limit orders. Due to these countervailing channels, the impact … of fragmentation on liquidity and welfare differs with asset volatility: when volatility is high (low), liquidity and …’s predictions about liquidity. Our model reconciles the mixed results in the empirical literature. …