Under the background of the deepening of the global financial integration, financial crisis erupted more and more frequently since the 1980. Thus, measuring the integration of financial markets within a country or across national borders has been a subject of keen interest in financial economics. In measuring financial contagion a number of methodological approaches have been utilized in the past, mainly focusing on the test of financial contagion effect. There is little literature from the micro-perspective of the behavior of traders to explore the financial crisis of the infection mechanism.
In this paper, an empirical asset pricing model inspired by the heterogeneous agents literature, a market with time-variation in the source of price changes, is proposed in order to look at the contagion question from a different perspective. By doing so, we attempt to lay bare the micro-mechanisms behind the changing mutual dependency between asset markets. Changes in asset prices are driven by three different sources:fundamentalists, chartists, and internationalists. The relative importance of each source is time-varying conditional on its impact on price in the previous period. The notion of contagion is incorporated by modelling two markets next to each other; the fact that the domestic market is (partly) driven by information from the foreign market introduces conditional interaction between the two risky assets. The model reduces to a VECM with time-varying coefficients and an economic underpinning. This time-variation is induced by the fact that the weight put on the different sources changes through time.
The model is estimated for the U.S and Hongkong stock markets monthly data surrounding the 2007 subprime crisis and 2010 European debt crisis. Results imply that the U.S stock market is dominate by fundamentalists in most of the time, but during the crisis period, the influence of internationalist is raising apparently; for Hongkong stock market, chartist is the main source of price changes, the attention for foreign markets is increasing during the crisis period. However, there is no clear evidence of fundamentalists for price changing.
The combination of shift-contagion and heterogeneous agents has never been explored, to our best knowledge.Thus our study provides a new perspective and analytical tool for understanding the process of financial crisis contagion. Future research in this field can spread into different directions. The dual market situation is examined in this paper. Our research can be explored to a multi-markets setting for future study.
ZHANG Yi, LIU Zhi-dong
. Research on Effect and Mechanism of Financial Contagion with Heterogeneous Traders[J]. Chinese Journal of Management Science, 2017
, 25(9)
: 37
-45
.
DOI: 10.16381/j.cnki.issn1003-207x.2017.09.005
[1] Choe K,Vahid F. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation[J]. Pacific-Basin Finance Journal, 2012, 20(2):271-291.
[2] Dimitrios V, Theodore D. Detectingshift and pure contagion in east Asian equity markets:A unified approach[J]. Pacific Economic Review, 2013, 15(11):401-421.
[3] Ranta M.Contagion among major world markets:A wavelet approach[J]. International Journal of Managerial Finance, 2013, 9(2):133-149.
[4] McKibbin R, Martin V. Financial contagion and asset pricing[J]. Journal of Banking & Finance, 2014,47(8):296-308.
[5] Le C, David D.Asset price volatility and financial contagion:Analysis using the MS-VAR framework[J]. Eurasian Economic Review, 2014, 4(2):133-162.
[6] Sahalia Y, Cacho-Diaz J, Laeven R J A.Modeling financial contagion using mutually exciting jump processes[J]. Journal of Financial Economics, 2015, 117(3):585-606.
[7] 叶青, 韩立岩. 金融危机传染渠道与机制研究——以次贷危机为例[J]. 系统工程理论与实践, 2014, 34(10):2483-2494.
[8] 欧阳红兵, 刘晓东. 中国金融机构的系统重要性及系统性风险传染机制分析——基于复杂网络的视角[J]. 中国管理科学, 2015, 33(10):30-37.
[9] 叶五一, 李飞, 缪柏其. 基于局部相关系数的美国次贷危机传染分析[J]. 数理统计与管理, 2016, 35(3):525-535.
[10] Mondria J, Climent Q. Financial contagion and attention allocation[J]. The Economic Journal, 2013, 123(568):429-454.
[11] 凌爱凡, 杨晓光. 基于Google Trends注意力配置的金融传染渠道[J]. 管理科学学报, 2012, 15(11):104-112.
[12] Georg C.The effect of the interbank network structure on contagion and common shocks[J]. Journal of Banking & Finance, 2013, 37(7):2216-2228.
[13] 鲍勤, 孙艳霞. 网络视角下的金融结构与金融风险传染[J]. 系统工程理论与实践, 2014, 34(9):2202-2211.
[14] Thanaset C, Tee K H. The effects of news events on market contagion:Evidence from the 2007-2009 financial crisis[J]. Research in International Business and Finance, 2014, 32(3):83-105.
[15] 高研, 张新雨, 程棵, 等. 信息逐渐披露下的金融传染[J]. 管理科学学报, 2014, 17(3):3-14.
[16] Hommes M. Chartist, noise and fundamentals in the London foreign exchange market[J]. Economic Journal, 2013, 34(1):149-159.
[17] Menkhoff K L. Speculative behaviour and complex asset price dynamics:A global analysis[J]. Journal of Economic Behavior and Organization, 2009, 49(12):173-197.
[18] LeBaron B.Heterogeneous gain learning and the dynamics of asset prices[J]. Journal of Economic Behavior & Organization, 2012, 83(3):424-445.
[19] Breaban A, Noussair C. Trader characteristics and fundamental value trajectories in an asset market experiment[J]. Journal of Behavioral and Experimental Finance, 2015, 8(1):1-17.
[20] 惠晓峰, 张硕. 基于代表性异质投资者的汇率动态模型[J]. 中国管理科学, 2012, 20(3):26-33.
[21] 李晓峰, 陈华. 交易者预期异质性、央行干预效力与人民币汇率变动——汇改后人民币汇率的形成机理研究[J]. 金融研究, 2010, 30(8):1-12.
[22] 袁晨, 傅强. 两国股票市场和相关外汇市场的非线性资产定价偏差:基于投资者的异质交易策略[J]. 系统工程, 2015, 33(4):8-17.
[23] 林敏华. 信贷资产证券化、异质性投资者和金融风险[J]. 中国管理科学, 2015, 23(6):25-31.
[24] Fama E, French K. The equity premium[J]. Journal of Finance, 2002, 57(4):637-659.
