In the case of Visual Studio, std::sort() is a mix of quick sort, heap sort (only to prevent worst case O(n^2) time complexity), and insertion sort, while std::stable_sort(), is a mix of merge sort and insertion sort. Both are reasonably fast, but it's possible to write faster code. The example code in the question is copying data before every merge, which consumes time. This can be avoided by doing a one time allocation of a working buffer, and switching merge direction based on level of recursion, using a pair of mutually recursive functions (shown below), or a boolean parameter to control merge direction (not used in example below).
Example C++ code for top down merge sort that is reasonably optimized (bottom up merge sort would be slightly faster, as it skips the recursion used to generate indices, using iteration instead).
// prototypes
void TopDownSplitMergeAtoA(int a[], int b[], size_t ll, size_t ee);
void TopDownSplitMergeAtoB(int a[], int b[], size_t ll, size_t ee);
void TopDownMerge(int a[], int b[], size_t ll, size_t rr, size_t ee);
void MergeSort(int a[], size_t n)       // entry function
{
    if(n < 2)                           // if size < 2 return
        return;
    int *b = new int[n];
    TopDownSplitMergeAtoA(a, b, 0, n);
    delete[] b;
}
void TopDownSplitMergeAtoA(int a[], int b[], size_t ll, size_t ee)
{
    if((ee - ll) == 1)                  // if size == 1 return
        return;
    size_t rr = (ll + ee)>>1;           // midpoint, start of right half
    TopDownSplitMergeAtoB(a, b, ll, rr);
    TopDownSplitMergeAtoB(a, b, rr, ee);
    TopDownMerge(b, a, ll, rr, ee);     // merge b to a
}
void TopDownSplitMergeAtoB(int a[], int b[], size_t ll, size_t ee)
{
    if((ee - ll) == 1){                 // if size == 1 copy a to b
        b[ll] = a[ll];
        return;
    }
    size_t rr = (ll + ee)>>1;           // midpoint, start of right half
    TopDownSplitMergeAtoA(a, b, ll, rr);
    TopDownSplitMergeAtoA(a, b, rr, ee);
    TopDownMerge(a, b, ll, rr, ee);     // merge a to b
}
void TopDownMerge(int a[], int b[], size_t ll, size_t rr, size_t ee)
{
    size_t o = ll;                      // b[]       index
    size_t l = ll;                      // a[] left  index
    size_t r = rr;                      // a[] right index
    while(1){                           // merge data
        if(a[l] <= a[r]){               // if a[l] <= a[r]
            b[o++] = a[l++];            //   copy a[l]
            if(l < rr)                  //   if not end of left run
                continue;               //     continue (back to while)
            while(r < ee)               //   else copy rest of right run
                b[o++] = a[r++];
            break;                      //     and return
        } else {                        // else a[l] > a[r]
            b[o++] = a[r++];            //   copy a[r]
            if(r < ee)                  //   if not end of right run
                continue;               //     continue (back to while)
            while(l < rr)               //   else copy rest of left run
                b[o++] = a[l++];
            break;                      //     and return
        }
    }
}