We show that structured equity derivatives can cause significant price pressure of the underlying stock upon an event of dramatic payoff change. Moreover, one event causes another: the event cascade amplifies the magnitude of the impact. We find that a single event accounts for a -6.4% return on the event day, and it increases the probability of a subsequent event by 21.3%. Given the negative price impact, traders try to liquidate ahead of each other, exacerbating the degree of price pressure. Our results uncover the chain-reaction and (mis)coordination mechanism in complex derivatives markets that can provoke substantial price shocks.

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清算级联和预期交易：来自结构性股票产品市场的证据

我们表明，当收益发生剧烈变化时，结构性股票衍生品可能会对标的股票造成巨大的价格压力。此外，一个事件导致另一个事件：事件级联放大了影响的幅度。我们发现单个事件在事件日的回报率为-6.4%，它使后续事件的概率增加了 21.3%。鉴于价格的负面影响，交易者试图提前平仓，加剧了价格压力的程度。我们的研究结果揭示了复杂衍生品市场中可能引发重大价格冲击的连锁反应和（错误）协调机制。