- BIMSA 数字经济实验室讨论班

Information flow between asset classes during extreme events

组织者

彼尔·约翰逊 , 高瑞泽 , 韩立岩 , 李振 , 刘瑾 , 龙飞 , 史冬波 , 汤珂 , 严兴 , 张琦

演讲者

危学达

时间

2026年05月22日 15:00 至 16:00

地点

A3-2-303

线上

Zoom 435 529 7909 (BIMSA)

摘要

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.

演讲者介绍

Xueda Wei is a PHD student at BIMSA and RUC. His research interests including digital economy, complex network theory and applied systems.