This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample...

U.S. common stocks are simultaneously traded on multiple trading centers. We study quotes and trades with millisecond timestamps during the flash crash of May 6, 2010 and document new findings about order dynamics when the fragmented market is under stress. First, relative to May 5, 2010, the...