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


Asset Pricing, Empirische Kapitalmarktforschung

Financial Markets and Portfolio Management (FMPM), 32(4), pp. 333-365


  • Financial crises
  • High-frequency data
  • Information transmission process
  • Macroeconomic announcements
  • Price discovery process


Dr. Michael Stein


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.

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