Financial Markets and Portfolio Management

, Volume 32, Issue 4, pp 333–365 | Cite as

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

  • Roland FüssEmail author
  • Ferdinand Mager
  • Michael Stein
  • Lu Zhao


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.


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

JEL Classification

G01 G12 G14 G15 



We are grateful to the anonymous referee as well as Yakov Amihud, Jean-Noël Barrot, Adam Clements, Alfonso Dufour, Falko Fecht, Reint Gropp, Ferenc Horvath, Olga Lebedeva, Bonnie F. Van Ness, Rico von Wyss, and the participants at the Brown Bag Seminar at the EBS Business School, the Eastern Finance Association annual meeting 2012, the Midwest Finance Association 2012 annual meeting, the 2012 FMA European Conference, the SGF Conference 2016, the IFABS 2016 Conference in Barcelona, the 4th Paris Financial Management Conference (PFMC) 2016, the 14th EUROFIDAI/AFFI/ESSEC Paris December Finance Meeting, and the Bundesbank Project Group on “Big Data” Workshop. We also thank the Deutsche Börse for providing the data, especially Axel Schorn and Holger Wohlenberg for MNI data about macroeconomic announcements.

Supplementary material

11408_2018_318_MOESM1_ESM.pdf (470 kb)
Supplementary material 1 (pdf 469 KB)


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Copyright information

© Swiss Society for Financial Market Research 2018

Authors and Affiliations

  • Roland Füss
    • 1
    • 2
    • 3
    Email author
  • Ferdinand Mager
    • 4
  • Michael Stein
    • 5
    • 6
  • Lu Zhao
    • 7
    • 8
  1. 1.School of Finance, Swiss Institute of Banking and Finance (s/bf)University of St. GallenSt. GallenSwitzerland
  2. 2.Centre for European Economic Research (ZEW)MannheimGermany
  3. 3.Center for Real Estate and Environmental EconomicsNTNU Business SchoolTrondheimNorway
  4. 4.Department of Finance, Accounting and Real Estate, EBS Business SchoolEBS Universität für Wirtschaft und RechtWiesbadenGermany
  5. 5.Department of Financial Market Econometrics, Faculty for Economics and Business AdministrationUniversity of Duisburg-EssenEssenGermany
  6. 6.IQ-KAP (The Private Institute for Quantitative Capital Market Research at the DekaBank) and Deka Investment GmbHFrankfurt am MainGermany
  7. 7.Department of Financial Engineering, School of FinanceSouthwestern University of Finance and EconomicsChengduPeople’s Republic of China
  8. 8.Stockholm Business SchoolStockholm UniversityStockholmSweden

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