Financial crises, price discovery, and information transmission: a high-frequency perspective
Journal article, Peer reviewed
Accepted version
Åpne
Permanent lenke
http://hdl.handle.net/11250/2592912Utgivelsesdato
2018Metadata
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- NTNU Handelshøyskolen [1564]
- Publikasjoner fra CRIStin - NTNU [37215]
Originalversjon
Financial Markets and Portfolio Management (FMPM). 2018, 32 (4), 333-365. 10.1007/s11408-018-0318-3Sammendrag
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.