How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective
研究了国际股票市场中价格、流动性和交易活动的日内市场范围冲击，发现价格冲击主要由信息驱动且不逆转，流动性冲击孤立且短暂，对国际投资者而言流动性枯竭问题不大。
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. This paper was accepted by Karl Diether, finance.