{"title":"COVID-19如何引起风险传染?","authors":"Yu Yan, Yiming Wang, Yiming Lei","doi":"10.2139/ssrn.3809107","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"How Can COVID-19 Cause Risk Contagion?\",\"authors\":\"Yu Yan, Yiming Wang, Yiming Lei\",\"doi\":\"10.2139/ssrn.3809107\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":11757,\"journal\":{\"name\":\"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3809107\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3809107","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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