Importance In context of the consolidation processes intensification in the sphere of stock exchange trade, observed in recent years, the article considers the merger of two key Russian Stock Exchanges, the RTS and MICEX, and the establishment of a single trading platform of the Moscow Stock Exchange in December of 2011. The Stock Exchange consolidation is widely seen as a way to improve the quality and competitiveness of the trading platform in a market environment featured by an ever intensifying competition and as the move, which is aimed at its complying with the international standards. Thus, it is reasonable to believe that some market parameters would perform better at a single exchange in comparison with the segmented exchanges. Objectives We assess the effect of the MICEX and RTS merger by such a market parameter as liquidity. This kind of choice stems from the fact that a market parameter facilitates fair pricing of the assets, and it relates with an area of interest of two main trading participants, i.e. investors and issuers. We emphasize that from the viewpoint of investors, liquidity actively impacts on the outcome of the market stock exchange trading strategies. From the viewpoint of issuers, it creates the possibilities of the fair company's market value. Methods To test this hypothesis, we have carried out a comparative analysis of the status of all-market liquidity (cross sectional according to the groups of shares with comparable market capitalization) before and after merger of the stock exchanges. We have carried out an evaluation of liquidity through three liquidity projections (trading costs, trading activity and flexibility), which together are able to more fully and accurately reflect the multifaceted nature of this market characteristics. Results We consider that the comparative analysis of the sampling method of the Russian single share market does not provide any evidence in favor of positive changes in the state of liquidity in the period after the MICEX and RTS merger. The qualitative changes of the listing composition at the Moscow Stock Exchange, which comprised also the former RTS small- and mid-cap stocks issues, which have been traded during the preceding period at the RTS Stock Exchange, could serve as a possible explanation of this observation. Conclusions and Relevance That explanation is supported by the comparative analysis of the sampling method of liquidity of the identical market (market of the identical stock composition before and after the MICEX and RTS merger) which demonstrates the improvement in status of liquidity in one of its projections.
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