Before revision:  In an empirical application, we document the rich  dynamics of volatility connectedness in the US financial institutions with short-term connections due to contemporaneous correlations as well as significant weekly, monthly, and longer connections that play a role. Hence, we find that the financial market clears part of the information but that the permanent changes in investors' expectations having longer-term responses are non-negligible .
After revision:  In an empirical application, we document the rich dynamics of volatility connectedness in the US financial institutions . Economically, periods in which connectedness is created at high frequencies are periods when stock markets seem to process information rapidly and calmly, and a shock to one asset in the system will have an impact mainly in the short term. When the connectedness is created at lower frequencies, it suggests that shocks are persistent and are being transmitted for longer periods .