An experimental analysis of contagion in financial markets
通过实验研究，当交易者能观察到另一资产价格时，资产价格如何吸收内部信息；发现相关性导致价格传染，且相关性会恶化低股息时的信息传播。
In an experimental market, we study how information about the dividend of an asset, which is available to some traders, is absorbed in the asset's price when all traders also have access to the prices of another different asset. We consider two treatments: in one, the dividends of the two assets are independent; in the other, the dividend of the own asset correlates positively with the dividend of the other asset. Since there is no aggregate uncertainty in the own market, the other dividend should not affect own prices according to the rational expectations equilibrium. Consistent with a prior information perspective, we find that (a) own prices are increasing in the other dividend if and only if dividends are correlated, and (b) correlated dividends can worsen information dissemination when the own dividend is low, and the other dividend is high. These findings imply that linkages between markets, both via fundamentals and via observability of market prices, can cause financial contagion even if there are corrective market forces at play (superior private information in the own market).