Download This PaperGlobal Realignment in Financial Market Dynamics
93 Pages Posted: 4 Feb 2021 Last revised: 27 Nov 2023
Date Written: November 18, 2023
Abstract
We examine the leading role of the United States in the global equity markets by building
daily snapshots of lead-lag price discovery networks using high-frequency country
ETF returns. We find that the centrality of the U.S. equity market has been waning over
time. Consistent with an explanation of gradual information diffusion, we empirically
show that the shift to a multipolar system in the global equity markets can be explained
by changes in information supply and demand. Using the COVID-19 pandemic as an
exogenous shock, we document a causal relationship between news and country-specific
price discovery network centralities.
Keywords: Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance
Suggested Citation: Suggested Citation
Monica Billio
Ca Foscari University of Venice - Dipartimento di Economia ( email )
Cannaregio 873
Venice, 30121
Italy
HOME PAGE: http://www.unive.it/persone/billio
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering ( email )
100 Main Street
E62-618
Cambridge, MA 02142
United States
617-253-0920 (Phone)
781 891-9783 (Fax)
HOME PAGE: http://web.mit.edu/alo/www
Leibniz Institute for Financial Research SAFE ( email )
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany
HOME PAGE: http://www.safe-frankfurt.de
Ca Foscari University of Venice - Dipartimento di Economia ( email )
Cannaregio 873
Venice, 30121
Italy