典型文献
Illiquidity Comovement and Market Crisis
文献摘要：
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.
文献关键词：
中图分类号：
作者姓名：
ZENG Qingduo;ZHANG Qiang;LIU Shancun;YANG Yaodong
作者机构：
School of Economics and Commerce,Guangdong University of Technology,Guangzhou 510520,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China;School of Economics and Management,Beihang University,Beijing 100191,China;Department of Computer Science,University College London,London,UK
文献出处：
引用格式：
[1]ZENG Qingduo;ZHANG Qiang;LIU Shancun;YANG Yaodong-.Illiquidity Comovement and Market Crisis)[J].系统科学与复杂性学报（英文版）,2022(05):1863-1874
A类：
Illiquidity,Comovement,unlinked,dint,comovement,informativeness
B类：
Market,Crisis,This,paper,presents,rational,expectation,equilibrium,model,explore,how,financial,contagion,occurs,between,markets,that,do,share,common,fundamentals,In,proposed,authors,assume,two,three,risky,assets,factors,but,connected,by,one,intermediate,via,cross,Through,this,channel,investors,transmit,from,another,mechanism,causes,subsequently,becomes,source,crisis,initial,shock,can,result,drop,tendency,price,Such,offers,new,explanation,idiosyncratic
AB值：
0.50747
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