COVID-19如何引起风险传染?

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2021-03-21 DOI:10.2139/ssrn.3809107

Yu Yan, Yiming Wang, Yiming Lei

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引用次数: 0

摘要

为了解释股票市场之间的传染机制，我们建立了一个基于异质信念和外生股息的两市场资产定价模型。结果表明，只要交易者相信两个市场的价格之间存在相关性，即使新冠肺炎的一个影响只影响单个市场的噪音交易者或主观协方差，价格传染也会发生。此外，我们发现单一市场的股息冲击不会影响其他市场。实证结果支持我们对新冠肺炎疫情对中美股市影响的分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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How Can COVID-19 Cause Risk Contagion?

To explain the contagion mechanism between stock markets, we establish a two markets asset pricing model based on heterogeneous beliefs and exogenous dividends. The results show that as long as traders believe a correlation between the prices of the two markets, even if one impact of COVID-19 only affects noise traders in a single market or subjective covariance, price contagion will occur. Besides, we find that a single market dividend shock does not affect the other market. The empirical results support our analysis of the impact of COVID-19 on the stocks markets of China and the United States.

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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