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Peeters, R., Veiga, H. & Vorsatz, M. (2025). An experimental analysis of contagion in financial markets. Journal of Economic Dynamics and Control. 171
Export Reference (IEEE) 
R. Peeters et al.,  "An experimental analysis of contagion in financial markets", in Journal of Economic Dynamics and Control, vol. 171, 2025
Export BibTeX 
@article{peeters2025_1765172929166,
	author = "Peeters, R. and Veiga, H. and Vorsatz, M.",
	title = "An experimental analysis of contagion in financial markets",
	journal = "Journal of Economic Dynamics and Control",
	year = "2025",
	volume = "171",
	number = "",
	doi = "10.1016/j.jedc.2024.105033",
	url = "https://www.sciencedirect.com/journal/journal-of-economic-dynamics-and-control"
}
Export RIS 
TY  - JOUR
TI  - An experimental analysis of contagion in financial markets
T2  - Journal of Economic Dynamics and Control
VL  - 171
AU  - Peeters, R.
AU  - Veiga, H.
AU  - Vorsatz, M.
PY  - 2025
SN  - 0165-1889
DO  - 10.1016/j.jedc.2024.105033
UR  - https://www.sciencedirect.com/journal/journal-of-economic-dynamics-and-control
AB  - 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).
ER  -