Cotter, John; Avino, Davide - Geary Institute, University College Dublin - 2014
level. 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 …