Şensoy, AhmetUzun, SevcanLucey, B. M.2021-03-012021-03-012020-061544-6123http://hdl.handle.net/11693/75659We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency level and it has been gradually increasing over the last few years. Moreover, commonality increases significantly before (after) ECB (Fed) monetary policy announcements. Finally, commonality in FX liquidity has a significant positive impact on the commonality in FX return series, indicating that an increase in the intraday systematic liquidity risk might trigger a negative aggregate liquidity-return spiral in the FX markets.EnglishCommonality in liquidityForeign exchangeHigh-frequency tradingTransaction costSystematic riskArticle10.1016/j.frl.2020.101577