WP15
Faster, Wider, More Fragile? The Evolution of Intraday Shock Propagation in U.S. Equity Markets, 1992–2026
This paper studies how intraday shocks travel across U.S. equities using 7.69 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 1.85 million ±6σ one-minute events, the abnormal share of other…