Global Realignment in Financial Market Dynamics

93 Pages Posted: 4 Feb 2021 Last revised: 27 Nov 2023

See all articles by Monica Billio

Monica Billio

University of Venice - Department of Economics; Ca Foscari University of Venice - Dipartimento di Economia

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice - Dipartimento di Economia

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Abalfazl Zareei

Stockholm University

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

Billio, Monica and Billio, Monica and Lo, Andrew W. and Pelizzon, Loriana and Getmansky Sherman, Mila and Zareei, Abalfazl, Global Realignment in Financial Market Dynamics (November 18, 2023). SAFE Working Paper No. 304, Available at SSRN: https://ssrn.com/abstract=3779127 or http://dx.doi.org/10.2139/ssrn.3779127

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/persone/billio

University of Venice - Department of Economics ( email )

Fondamenta San Giobbe 873
Venezia 30121
Italy
+39 041 234 9170 (Phone)
+39 041 234 9176 (Fax)

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

Loriana Pelizzon (Contact Author)

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

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

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance ( email )

Amherst, MA 01003-4910
United States

Abalfazl Zareei

Stockholm University ( email )

Universitetsvägen 10
Stockholm, Stockholm SE-106 91
Sweden

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