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Financial crises, price discovery, and information transmission: a high-frequency perspective
Stockholm University, Faculty of Social Sciences, Stockholm Business School. Southwestern University of Finance and Economics, People’s Republic of China.
Number of Authors: 42018 (English)In: Financial markets and portfolio management, ISSN 1575-0698, Vol. 32, no 4, p. 333-365Article in journal (Refereed) Published
Abstract [en]

This paper examines the price discovery processes before and during the 2007-2009 subprime and financial crisis, as well as the subsequent European sovereign crisis, for American and German stock and bond markets, as well as for U.S. Dollar/Euro FX. Based on 5-s intervals, we analyze how asset prices interact conditional on macroeconomic announcements from the USA and Germany. Our results show significant co-movement and spillover effects in returns and volatility, reflecting systematic information transmission mechanisms among asset markets. We document strong state dependence with a substantial increase in inter-asset spillovers and feedback effects during times of crisis.

Place, publisher, year, edition, pages
2018. Vol. 32, no 4, p. 333-365
Keywords [en]
Financial crises, Macroeconomic announcements, Price discovery process, Information transmission process, High-frequency data
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:su:diva-163716DOI: 10.1007/s11408-018-0318-3ISI: 000452311800001OAI: oai:DiVA.org:su-163716DiVA, id: diva2:1278983
Available from: 2019-01-15 Created: 2019-01-15 Last updated: 2019-01-15Bibliographically approved

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