Based on reconstructed high-frequency limit order book data, we provide empirical evidence of systematic liquidity co-variation across DAX-30 stocks. We show that commonality in liquidity is even more crucial beyond the best limits, and that liquidity shocks are correlated across different order...

We disentangle bid- and ask-side liquidity using 11 years of comprehensive NYSE limit order book data and document that this has important implications for understanding the determinants, commonalities and pricing of liquidity. First, the ask- but not bid-side liquidity of financial stocks...