This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion. This common sentiment bridges the connection between pr...This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion. This common sentiment bridges the connection between prices learned by rational traders and thus can weaken the uncertainty from noise shock. The authors find that there exist comovement effect and crowding-out effect in information acquisition among different markets. These two effects capture financial contagion when markets experience large downward or upward tendency, which offers an explanation for market crisis to some extent.展开更多
This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume tw...This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume two of the three risky assets share no common fundamental factors,but are connected by one intermediate asset via cross fundamentals.Through this channel,investors transmit fundamental risk from one asset to another by dint of the cross fundamentals.This mechanism causes liquidity comovement and subsequently becomes a source of market crisis:Through the contagion mechanism,an initial liquidity shock in one asset can result in a drop tendency in liquidity and price informativeness for another asset.Such comovement in liquidity offers a new explanation for idiosyncratic assets in financial contagion.展开更多
基金supported by the National Natural Science Foundation of China under Grant No.71771008the Central University Fund under Grant No.PTRW1808+1 种基金the Fundamental Research Funds for the Central Universities under Grant No.XK1802-5the Supporting Plan for Top Talents in Humanities and Social Sciences under Grant No.YWF-19-BJ-W-45
文摘This paper investigates the informational role of prices in segmented markets which are shocked by a kind of common sentiment resulting from financial contagion. This common sentiment bridges the connection between prices learned by rational traders and thus can weaken the uncertainty from noise shock. The authors find that there exist comovement effect and crowding-out effect in information acquisition among different markets. These two effects capture financial contagion when markets experience large downward or upward tendency, which offers an explanation for market crisis to some extent.
基金supported by China Postdoctoral Science Foundation under Grant No.2019M660424the National Natural Science Foundation of China under Grant Nos.71771008 and 71803029Guangdong Province Philosophy and Social Science Planning Project under Grant No.GD21YYJ10。
文摘This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals.In the proposed model,the authors assume two of the three risky assets share no common fundamental factors,but are connected by one intermediate asset via cross fundamentals.Through this channel,investors transmit fundamental risk from one asset to another by dint of the cross fundamentals.This mechanism causes liquidity comovement and subsequently becomes a source of market crisis:Through the contagion mechanism,an initial liquidity shock in one asset can result in a drop tendency in liquidity and price informativeness for another asset.Such comovement in liquidity offers a new explanation for idiosyncratic assets in financial contagion.
