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How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective
16 references·0 citing·36 second hop
How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective (2021)How Do Shocks Arise and Spread Across Sto…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Commonality in liquidity (2000)Commonality in liquidityIntraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Mean Reversion in Stock Prices: Evidence and Implications (1987)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity and leverage (2008)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)The Cross‐Section of Volatility and Expected Returns (2006)Determinants of corporate borrowing (1977)Bank lending during the financial crisis of 2008 (2009)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Facts and Fantasies about Commodity Futures (2006)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,703 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2000Commonality in liquidity1,748 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,416 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002

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Equilibrium and welfare in markets with financially constrained arbitrageurs
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