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BIMSA Digital Economy Lab Seminar
BIMSA Digital Economy Lab Seminar
Information flow between asset classes during extreme events
Information flow between asset classes during extreme events
Organizers
Johansson Anders
,
Ruize Gao
,
Liyan Han
,
Zhen Li
,
Jin Liu
,
Fei Long
,
Dongbo Shi
,
Ke Tang
, Xing Yan
,
Qi Zhang
Speaker
Time
Friday, May 22, 2026 3:00 PM - 4:00 PM
Venue
A3-2-303
Online
Zoom 435 529 7909
(BIMSA)
Abstract
This paper investigates how information flows among major asset classes during extreme events, focusing on the COVID-19 pandemic and the Russia–Ukraine war from April 2017 to September 2024. Using transfer entropy within a financial network framework, it analyzes the evolving connections among various asset classes across periods of economic volatility and geopolitical tension. The study addresses the limitation of prior research that often focuses on specific markets or asset classes, thereby providing a broader view of cross-asset contagion effects. The results show that stocks and cryptocurrencies frequently act as net information transmitters, suggesting that digital assets are increasingly integrated with traditional financial markets rather than isolated from them. By contrast, currency benchmarks and gold tend to receive information during periods of heightened stress, reflecting their role in absorbing risk-driven capital flows. The financial network analysis reveals time-varying shifts in market interdependencies and offers a richer description of financial contagion dynamics. These findings highlight the importance of adaptive portfolio strategies, improved risk assessment models, and policy tools for identifying systemic vulnerabilities and reducing financial instability during crises.
Speaker Intro
Xueda Wei is a PHD student at BIMSA and RUC. His research interests including digital economy, complex network theory and applied systems.