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  pdftitle  = {Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992-2026},
  pdfauthor = {Simon-Pierre Boucher}
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\newcommand{\WPnumber}{15}
\newcommand{\WPtitle}{Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992--2026}
\newcommand{\WPsubtitle}{}
\newcommand{\WPdate}{October 2026}
\newcommand{\WPversion}{1.1}
\newcommand{\WPabstract}{%
We study how intraday shocks travel across U.S.\ equities using
\DataRowsBn{} billion one-minute bars covering the full listed and delisted
cross-section from 1992 to 2026. Three findings emerge. First, isolated
idiosyncratic shocks barely spread: across \NEventsRealMM{} million
$\pm6\sigma$ one-minute events, the abnormal share of other securities with
an extreme standardized return, measured against matched within-stock
placebos, lies between zero and about \StratShareOfBase\% of its base rate at
horizons of 1 to 120 minutes, in every decade. Second, transmission is
concentrated and has intensified: the shocked stock's twenty closest
lagged-correlation neighbors respond (+\NetDiffFive$\times10^{-4}$ in the
probability of an extreme move at five minutes), and this network channel
roughly tripled between the 1990s and the 2020s while market-wide spillover
stayed bounded near zero---a rise that partly reflects sharper identification
of the network as the Epps effect receded. Third, common information is
impounded far faster (one-minute pairwise correlation \EppsNinetySixOne{} in
1996 versus \EppsFifteenOne{} in 2015), ordinary extreme minutes became an
order of magnitude rarer after decimalization, and severe co-jump
minutes---more than a tenth of the universe moving together---are roughly
ten times more frequent in 2008 and 2020 than in calm years. Modern markets
absorb the idiosyncratic, transmit it narrowly along statistical linkages,
and synchronize on the systemic.
}
\newcommand{\WPkeywords}{intraday shock propagation, market fragility, high-frequency data, contagion, co-jumps, Epps effect, market microstructure}
\newcommand{\WPjel}{G10, G12, G14}

% --- Author ---
\newcommand{\WPauthor}{Simon-Pierre Boucher}
\newcommand{\WPaffiliation}{%
  Département des sciences administratives\\
  Université du Québec en Outaouais%
}
\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}
\newcommand{\WPaddress}{%
  Gatineau -- Pavillon Alexandre-Taché\\
  283, boulevard Alexandre-Taché\\
  Gatineau, Québec, Canada J9A 1L8%
}

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\begin{document}

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\input{sections/titlepage}

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\input{sections/01_introduction}
\input{sections/02_literature}
\input{sections/03_data}
\input{sections/04_measurement}
\input{sections/05_empirical_design}
\input{sections/06_results}
\input{sections/07_mechanisms}
\input{sections/08_robustness}
\input{sections/09_conclusion}

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\end{document}