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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}{July 2026}107\newcommand{\WPversion}{1.0}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 facts emerge. First, markets absorb112idiosyncratic shocks: across \NEventsRealMM{} million isolated $\pm6\sigma$113one-minute events, abnormal market-wide propagation---measured against matched114within-stock placebos---is economically zero at horizons of 1 to 120 minutes,115in every decade. Second, transmission is concentrated and has intensified:116the shocked stock's twenty closest lagged-correlation neighbors respond117strongly (+\NetDiffFive$\times10^{-4}$ abnormal jump probability at five118minutes), and this network channel tripled between the 1990s and the 2020s119while market-wide spillover stayed at zero. Third, tail synchronization120migrated to the market-wide minute: ordinary extreme minute returns became121roughly \ExtremeDropFactor{} times less frequent than in the 1990s, the Epps122curve flattened (one-minute pairwise correlation \EppsNinetySixOne{} in 1996123versus \EppsFifteenOne{} in 2015), and severe co-jump minutes spike by orders124of magnitude in 2008 and 2020. Modern markets absorb the idiosyncratic and125transmit the systemic.126}127\newcommand{\WPkeywords}{intraday shock propagation, market fragility, high-frequency data, contagion, co-jumps, Epps effect, market microstructure}128\newcommand{\WPjel}{G10, G12, G14}129130% --- Author ---131\newcommand{\WPauthor}{Simon-Pierre Boucher}132\newcommand{\WPaffiliation}{%133 Département des sciences administratives\\134 Université du Québec en Outaouais%135}136\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}137\newcommand{\WPaddress}{%138 Gatineau -- Pavillon Alexandre-Taché\\139 283, boulevard Alexandre-Taché\\140 Gatineau, Québec, Canada J9A 1L8%141}142143% ============================================================================144% DOCUMENT145% ============================================================================146\begin{document}147148% --- Title Page ---149\input{sections/titlepage}150151% --- Main Body ---152\input{sections/01_introduction}153\input{sections/02_literature}154\input{sections/03_data}155\input{sections/04_measurement}156\input{sections/05_empirical_design}157\input{sections/06_results}158\input{sections/07_mechanisms}159\input{sections/08_robustness}160\input{sections/09_conclusion}161162% --- References ---163\newpage164\bibliography{bibliography/references}165166\end{document}167