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
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.
