Financial crises, price discovery, and information transmission: a high-frequency perspective

Roland Füss (), Ferdinand Mager (), Michael Stein () and Lu Zhao ()
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Ferdinand Mager: EBS Universität für Wirtschaft und Recht
Michael Stein: University of Duisburg-Essen
Lu Zhao: Southwestern University of Finance and Economics

Financial Markets and Portfolio Management, 2018, vol. 32, issue 4, No 1, 333-365

Abstract: 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.

Keywords: Financial crises; Macroeconomic announcements; Price discovery process; Information transmission process; High-frequency data (search for similar items in EconPapers)
JEL-codes: G01 G12 G14 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11408-018-0318-3

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