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

Dion BongaertsRichard RollDominik RöschMathijs van DijkDarya Yuferova
Published in: Manag. Sci. (2022)
Keyphrases
  • stock market
  • stock exchange
  • financial data
  • short term
  • financial time series
  • stock returns
  • trading rules
  • stock price
  • financial markets
  • stock trading
  • monetary policy
  • garch model
  • stock data
  • financial news
  • long term