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The International Spillovers of the 2010 U.S. Flash Crash
Author(s) -
JANSEN DAVIDJAN
Publication year - 2021
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12790
Subject(s) - crash , equity (law) , latin americans , economics , business , financial economics , monetary economics , political science , computer science , law , programming language
This paper studies the intraday spillovers of the 2010 U.S. Flash Crash to international equity markets. We document a substantial and almost immediate echo of the crash in Latin America. Using data for 148 firms trading in Argentina, Brazil, Chile, or Mexico, we estimate price declines of up to 10% within minutes after the U.S. crash. Estimates for two different factor models indicate that this echo followed from normal interdependence rather than financial contagion.