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Financial crises, p...
Financial crises, price discovery, and information transmission : a high-frequency perspective
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Füss, Roland (author)
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Mager, Ferdinand (author)
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Stein, Michael (author)
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- Zhao, Lu (author)
- Stockholms universitet,Företagsekonomiska institutionen,Southwestern University of Finance and Economics, People’s Republic of China
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(creator_code:org_t)
- 2018-11-01
- 2018
- English.
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In: Financial markets and portfolio management. - : Springer Science and Business Media LLC. - 1575-0698 .- 1934-4554 .- 2373-8529. ; 32:4, s. 333-365
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https://ntnuopen.ntn...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- 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.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
Keyword
- Financial crises
- Macroeconomic announcements
- Price discovery process
- Information transmission process
- High-frequency data
Publication and Content Type
- ref (subject category)
- art (subject category)
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