This paper studies the global volatility connectedness network among 16 stock markets under different market conditions. We construct measures of tail connectedness following Ando et al. (2022) by introducing quantile regression into the classic Diebold-Yilmaz network model. We demonstrate the...

This paper develops a methodology for detecting and measuring contagion using high frequency data which disentangles continuous and discontinuous price movements. We demonstrate its finite sample properties using Monte-Carlo simulation, focusing on the empirically plausible parameter space....

Market-wide circuit breakers (MWCBs), which halt trading for 15 minutes across all U.S. stock exchanges, were triggered four times in March 2020. We provide some of the first evidence on the effectiveness of MWCBs using tick data. Although MWCBs increase stocks’ realized volatility and quoted...