use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

-dependent return and volatility patterns across assets and markets. Moreover, we document significant co-movement and spillover effects …

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …

United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning … (temporarily) stemming liquidity loss during crises. -- short selling ban ; liquidity ; volatility …