How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

• 成果类型: Article
• 署名作者: Bongaerts, Dion; Roll, Richard; Roesch, Dominik; van Dijk, Mathijs; Yuferova, Darya
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; California Institute of Technology; Norwegian School of Economics (NHH)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.3979
• 发表日期: 2022
• 页码: 3071-3089
• 关键词: financial market shocks; liquidity dry-ups; spillovers across international stock markets; INFORMATION; International diversification

摘要

We study intraday, market-wide shocks to stock prices, market liquidity, and trading activity on international stock markets and assess the relevance of recent theories on liquidity dry-ups in explaining such shocks. Market-wide price shocks are prevalent and large, with rapid spillovers across markets. However, price shocks are predominantly driven by information; they do not revert and are often associated with macroeconomic news. Furthermore, liquidity shocks are typically isolated and transitory. Overall, we find little evidence for liquidity effects fomenting price shocks or non-fundamental contagion, nor for alternative explanations. Market-wide liquidity dry-ups are thus of little concern to international investors.