Spatial pricing with multiple risk transmission channels and specific factors

Na Chen, Xiu Jin, Xintian Zhuang and Ying Yuan

Physica A: Statistical Mechanics and its Applications, 2020, vol. 549, issue C

Abstract: This study synthesizes interactions among real link and informational risk transmission channels to construct a spatial weight matrix and considers the effects of specific factors on returns through such interactions. We propose a spatial pricing model with multiple risk transmission channels and specific factors. The empirical results of an application of the spatial pricing model to industry assets in the Chinese stock market show that (1) the interaction plays a significant role in explaining asset return. The multiple risk transmission channels based spatial weight matrix improves the performance of the spatial pricing model, and specific factors further improve the performance; (2) the feedback effects and indirect effects of specific factors indicate the importance of interaction and specific factors in the pricing model; and (3) the spatial pricing models are asymmetric in different regimes.

Keywords: Pricing model; Spatial interaction; Risk transmission channel; Specific factor (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437119321636

DOI: 10.1016/j.physa.2019.123897

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