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1% ============================================================================2% UQO Working Paper Template — Economics / Finance3% ============================================================================4\documentclass[12pt,letterpaper]{article}56% --- Encoding & Language ---7\usepackage[utf8]{inputenc}8\usepackage[T1]{fontenc}9\usepackage[english]{babel}1011% --- Page Layout ---12\usepackage[13 letterpaper,14 top=1in,15 bottom=1in,16 left=1in,17 right=1in18]{geometry}1920% --- Typography ---21\usepackage{mathptmx} % Times-like font (text + math)22\usepackage{microtype} % Improved typographic refinements23\usepackage{setspace}24\onehalfspacing % 1.5 line spacing2526% --- Math ---27\usepackage{amsmath,amssymb,amsthm}2829% --- Tables ---30\usepackage{booktabs}31\usepackage{tabularx}32\usepackage{multirow}33\usepackage{threeparttable}34\usepackage{siunitx}35\sisetup{36 input-symbols = {()},37 table-format = -1.3,38 parse-numbers = false39}4041% --- Figures ---42\usepackage{graphicx}43\usepackage{subcaption}44\usepackage{float}4546% --- Colors & Links ---47\usepackage[dvipsnames]{xcolor}48\usepackage[49 colorlinks = true,50 linkcolor = NavyBlue,51 citecolor = NavyBlue,52 urlcolor = NavyBlue,53 breaklinks = true54]{hyperref}55\hypersetup{56 pdftitle = {Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992-2026},57 pdfauthor = {Simon-Pierre Boucher}58}5960% --- Bibliography ---61\usepackage[authoryear,round,semicolon]{natbib}62\bibliographystyle{aer}6364% --- Captions ---65\usepackage[66 font = small,67 labelfont = bf,68 labelsep = period,69 justification = justified,70 singlelinecheck = false71]{caption}7273% --- Headers & Footers ---74\usepackage{fancyhdr}75\pagestyle{fancy}76\fancyhf{}77\renewcommand{\headrulewidth}{0pt}78\fancyfoot[C]{\thepage}7980% --- Section Formatting ---81\usepackage{titlesec}82\titleformat{\section}{\large\bfseries}{\thesection.}{0.5em}{}83\titleformat{\subsection}{\normalsize\bfseries}{\thesubsection.}{0.5em}{}84\titleformat{\subsubsection}{\normalsize\itshape}{\thesubsubsection.}{0.5em}{}8586% --- Appendix Support ---87\usepackage[toc,page]{appendix}8889% --- Tables (extra, used by the sections) ---90\usepackage{adjustbox}91\usepackage{longtable}92\usepackage{pdflscape}93\graphicspath{{figures/}}94\IfFileExists{results_macros.tex}{\input{results_macros.tex}}{}9596% --- Misc ---97\usepackage{enumitem}98\setlist{nosep,leftmargin=*}99100% ============================================================================101% METADATA102% ============================================================================103\newcommand{\WPnumber}{15}104\newcommand{\WPtitle}{Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992--2026}105\newcommand{\WPsubtitle}{}106\newcommand{\WPdate}{October 2026}107\newcommand{\WPversion}{1.1}108\newcommand{\WPabstract}{%109We study how intraday shocks travel across U.S.\ equities using110\DataRowsBn{} billion one-minute bars covering the full listed and delisted111cross-section from 1992 to 2026. Three findings emerge. First, isolated112idiosyncratic shocks barely spread: across \NEventsRealMM{} million113$\pm6\sigma$ one-minute events, the abnormal share of other securities with114an extreme standardized return, measured against matched within-stock115placebos, lies between zero and about \StratShareOfBase\% of its base rate at116horizons of 1 to 120 minutes, in every decade. Second, transmission is117concentrated and has intensified: the shocked stock's twenty closest118lagged-correlation neighbors respond (+\NetDiffFive$\times10^{-4}$ in the119probability of an extreme move at five minutes), and this network channel120roughly tripled between the 1990s and the 2020s while market-wide spillover121stayed bounded near zero---a rise that partly reflects sharper identification122of the network as the Epps effect receded. Third, common information is123impounded far faster (one-minute pairwise correlation \EppsNinetySixOne{} in1241996 versus \EppsFifteenOne{} in 2015), ordinary extreme minutes became an125order of magnitude rarer after decimalization, and severe co-jump126minutes---more than a tenth of the universe moving together---are roughly127ten times more frequent in 2008 and 2020 than in calm years. Modern markets128absorb the idiosyncratic, transmit it narrowly along statistical linkages,129and synchronize on the systemic.130}131\newcommand{\WPkeywords}{intraday shock propagation, market fragility, high-frequency data, contagion, co-jumps, Epps effect, market microstructure}132\newcommand{\WPjel}{G10, G12, G14}133134% --- Author ---135\newcommand{\WPauthor}{Simon-Pierre Boucher}136\newcommand{\WPaffiliation}{%137 Département des sciences administratives\\138 Université du Québec en Outaouais%139}140\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}141\newcommand{\WPaddress}{%142 Gatineau -- Pavillon Alexandre-Taché\\143 283, boulevard Alexandre-Taché\\144 Gatineau, Québec, Canada J9A 1L8%145}146147% ============================================================================148% DOCUMENT149% ============================================================================150\begin{document}151152% --- Title Page ---153\input{sections/titlepage}154155% --- Main Body ---156\input{sections/01_introduction}157\input{sections/02_literature}158\input{sections/03_data}159\input{sections/04_measurement}160\input{sections/05_empirical_design}161\input{sections/06_results}162\input{sections/07_mechanisms}163\input{sections/08_robustness}164\input{sections/09_conclusion}165166% --- References ---167\clearpage168\bibliography{bibliography/references}169170\end{document}171