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.
SAFE Working Paper No. 304
