Liquidity commonality and return co-movement

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Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, background): “6 For similar graphical representations cf. Domowitz et al. (2005) and Stange and Kaserer (2011).”
Option Market Liquidity: Commonality and Other Characteristics (2010, unknown): “…order-driven markets; Brockman et al. (2009) confirmed the existence of liquidity commonality for stocks on 47 exchanges around the world; finally, Domowitz et al. (2005) showed that commonality in liquidity is a manifestation of the co-movements in supply and demand, which, in turn, are caused…”
Understanding Commonality in Liquidity Around the World (2011, background): “See Brockman and Chung (2002) and Domowitz, Hansch, and Wang (2005) for evidence on commonality in liquidity in Hong Kong and Australia, respectively.”