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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}{July 2026}
\newcommand{\WPversion}{1.0}
\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 facts emerge. First, markets absorb
idiosyncratic shocks: across \NEventsRealMM{} million isolated $\pm6\sigma$
one-minute events, abnormal market-wide propagation---measured against matched
within-stock placebos---is economically zero 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
strongly (+\NetDiffFive$\times10^{-4}$ abnormal jump probability at five
minutes), and this network channel tripled between the 1990s and the 2020s
while market-wide spillover stayed at zero. Third, tail synchronization
migrated to the market-wide minute: ordinary extreme minute returns became
roughly \ExtremeDropFactor{} times less frequent than in the 1990s, the Epps
curve flattened (one-minute pairwise correlation \EppsNinetySixOne{} in 1996
versus \EppsFifteenOne{} in 2015), and severe co-jump minutes spike by orders
of magnitude in 2008 and 2020. Modern markets absorb the idiosyncratic and
transmit 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}