The International Spillovers of the 2010 U.S. Flash Crash
研究了2010年美国闪电崩盘对国际股票市场的日内溢出效应，发现拉丁美洲市场在几分钟内出现高达10%的价格下跌，且这种下跌源于正常市场联动而非金融传染。
Abstract This paper studies the intraday spillovers of the 2010 U.S. Flash Crash to international equity markets. We document a substantial and almost immediate echo of the crash in Latin America. Using data for 148 firms trading in Argentina, Brazil, Chile, or Mexico, we estimate price declines of up to 10% within minutes after the U.S. crash. Estimates for two different factor models indicate that this echo followed from normal interdependence rather than financial contagion.