What Drives Contagion in Financial Markets? Liquidity Effects versus Information Spill‐Over
利用开放式房地产基金的特殊制度环境，分离流动性效应与信息溢出，研究冲击在市场间传导的机制，发现流动性风险在潜在损失风险低时能很好解释折价，而一旦资产净值受损风险高时，信息溢出也起作用。
Abstract The objective of this paper is to study how contagion works in financial markets by identifying the mechanisms which drive the spill‐over of shocks from one market to other markets. To address this question we use open‐ended property funds (OPFs) as they offer a unique institutional setting which allows separating between liquidity and information spill‐over. We find that that liquidity risk captures the observed discounts very well when the danger of potential future impairments is low. Once the impending NAV impairments become very likely, also this component matters and attributes for a fraction of the total discount.