How do shocks arise and spread across stock markets? : a microstructure perspective

Dion Bongaerts, Richard Roll, Dominik Rösch, Mathijs van Dijk, Darya Yuferova

Year of publication:	2022
Authors:	Bongaerts, Dion ; Roll, Richard ; Rösch, Dominik ; Dijk, Mathijs van ; Yuferova, Darya
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 4, p. 3071-3089
Subject:	financial market shocks \| information \| international diversification \| liquidity dry-ups \| spillovers across international stock markets \| Schock \| Shock \| Aktienmarkt \| Stock market \| Internationaler Finanzmarkt \| International financial market \| Spillover-Effekt \| Spillover effect \| Portfolio-Management \| Portfolio selection \| Welt \| World \| Finanzmarkt \| Financial market \| Marktmikrostruktur \| Market microstructure \| Börsenkurs \| Share price \| VAR-Modell \| VAR model \| Japan