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

• Dion Bongaerts

  Dion Bongaerts

  [email protected]

  https://orcid.org/0000-0001-9290-3642

  Finance Group, Rotterdam School of Management, Erasmus University, 3062 PA Rotterdam, Netherlands

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• Richard Roll

  Richard Roll

  [email protected]

  California Institute of Technology, Pasadena, California 91125

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  ,
• Dominik Rösch

  Dominik Rösch

  [email protected]

  State University of NewYork at Buffalo, Buffalo, New York 14260

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  ,
• Mathijs van Dijk

  Mathijs van Dijk

  [email protected]

  https://orcid.org/0000-0003-3632-5766

  Finance Group, Rotterdam School of Management, Erasmus University, 3062 PA Rotterdam, Netherlands

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• Darya Yuferova

  Darya Yuferova

  [email protected]

  https://orcid.org/0000-0003-4757-3239

  NHH Norwegian School of Economics, 5045 Bergen, Norway

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