Avino, Davide; Cotter, John - Volkswirtschaftliche Fakultät, … - 2013
. We then perform a more in-depth investigation of the underlying price discovery mechanisms, and find that both variables … have an important price discovery role in the period preceding the financial crisis of 2007-2009. However, during the … global financial crisis and the subsequent European sovereign debt crisis, sovereign CDS spreads dominate the price discovery …