dc.contributor.author | Füss, Roland August | |
dc.contributor.author | Mager, Ferdinand | |
dc.contributor.author | Stein, Michael L. | |
dc.contributor.author | Zhao, Lu | |
dc.date.accessioned | 2019-04-02T11:18:58Z | |
dc.date.available | 2019-04-02T11:18:58Z | |
dc.date.created | 2019-03-07T17:44:24Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Financial Markets and Portfolio Management (FMPM). 2018, 32 (4), 333-365. | nb_NO |
dc.identifier.issn | 1934-4554 | |
dc.identifier.uri | http://hdl.handle.net/11250/2592912 | |
dc.description.abstract | 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Springer | nb_NO |
dc.title | Financial crises, price discovery, and information transmission: a high-frequency perspective | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 333-365 | nb_NO |
dc.source.volume | 32 | nb_NO |
dc.source.journal | Financial Markets and Portfolio Management (FMPM) | nb_NO |
dc.source.issue | 4 | nb_NO |
dc.identifier.doi | 10.1007/s11408-018-0318-3 | |
dc.identifier.cristin | 1683036 | |
dc.description.localcode | This is a post-peer-review, pre-copyedit version of an article published in Financial Markets and Portfolio Management. Locked until 1 November 2019 due to copyright restrictions. The final authenticated version is available online at: https://doi.org/10.1007/s11408-018-0318-3 | nb_NO |
cristin.unitcode | 194,60,10,0 | |
cristin.unitname | NTNU Handelshøyskolen | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |