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- W2339030262 abstract "This paper examines the price discovery processes before and during the 2007-09 subprime and financial crisis, as well as the subsequent European sovereign crisis, for the stock, bond, and U.S. dollar/euro FX markets in the U.S. and Germany in a high-frequency setting. Based on five-second intervals, we analyze how asset Prices interact and incorporate information conditional on macroeconomic announcements and news surprises from the U.S. and Germany. Our results show strong state-dependent return and volatility patterns across assets and markets. Moreover, we document significant co-movement and spillover effects that result from a dynamic network of news-based and trading-based information transmissions. We find that some effects we first identify during the financial and subprime crisis vanish, but others persist." @default.
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- W2339030262 date "2011-01-01" @default.
- W2339030262 modified "2023-09-25" @default.
- W2339030262 title "Price Discovery and Information Transmission Processes Among Asset Markets: An Ultrahigh-Frequency Perspective" @default.
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- W2339030262 doi "https://doi.org/10.2139/ssrn.1966958" @default.
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