Herding, social network and volatility
Herding, social network and volatility
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DOI：
10.1016/j.econmod.2017.04.018
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发表时间：
2018
影响因子：
4.7
通讯作者：
Guocheng Wang;Yanyi Wang
中科院分区：
文献类型：
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作者：
Guocheng Wang;Yanyi Wang
投资者的预期很大程度上受到周围环境意见的影响，尤其是那些被认为是上师的人。当信息被传播给他们的追随者时，这些意见领袖(即上师)可能会操纵信息。目前尚不清楚这种情况下羊群行为是否仍会出现，如果会，这些行为将如何影响市场波动性。在本文中，我们对选择跟随具有不同信息精度的大师，或者基于进化考虑成为图表学家的代理进行建模。数值模拟表明，提高大师的私人信息质量会导致跟随者的羊群行为更加密集，并对市场波动产生U型效应。此外，增加大师在市场中的比例会导致更密集的羊群行为，但会降低市场的波动性。有趣的是，市场环境也会影响投资者的选择。在繁荣时期或萧条时期，投资者更愿意追随大师。本文揭示了知情大师如何通过直接沟通影响投资者的行为和市场波动。
Investors' expectations are highly influenced by their surroundings' opinions, especially from those who are believed as gurus. These opinion leaders (i.e., gurus) may manipulate the information when the information is disseminated to their followers. It is unclear whether herding behaviors will still emerge in this situation and if so, how these behaviors would influence the market volatility. In this paper, we model agents who choose either to follow the gurus with different precisions of information, or to be a chartist based on evolutionary considerations. Numerical simulations show that increasing the quality of gurus' private information would lead to more intensive herding behavior of followers and produce a U-shaped effect on the market volatility. Besides, increasing the proportion of gurus in the market would lead to more intensive herding but would decrease the market volatility. Interestingly, the market environment also affects investors' choices. Investors are more willing to herd on gurus in boom times or in depression. This paper sheds light on how informed gurus affect investors' behavior and market volatility through direct communication.