基于社会网络的情绪扩散与股价波动风险研究

管理评论 ›› 2022, Vol. 34 ›› Issue (12): 16-25.

基于社会网络的情绪扩散与股价波动风险研究

王超¹, 何建敏², 姚鸿²

1. 南京农业大学金融学院, 南京 210095;
2. 东南大学经济管理学院, 南京 211189

收稿日期:2020-09-04 出版日期:2022-12-28 发布日期:2023-01-16
通讯作者: 王超(通讯作者),南京农业大学金融学院讲师,博士。
作者简介:姚鸿,东南大学经济管理学院博士研究生;何建敏,东南大学经济管理学院教授,博士生导师。
基金资助:
国家自然科学基金面上项目(71971055);教育部人文社会科学研究青年基金项目(21YJC790108);南京农业大学中央高校基本科研业务费人文社会科学基金项目(SKYC2020021;SKY22022009)。

A Social Network Based Research on Investor Sentiment Diffusion and Stock Price Fluctuation Risk

Wang Chao¹, He Jianmin², Yao Hong²

1. School of Finance, Nanjing Agricultural University, Nanjing 210095;
2. School of Economics & Management, Southeast University, Nanjing 211189

Received:2020-09-04 Online:2022-12-28 Published:2023-01-16

摘要/Abstract

摘要： 投资者情绪对股价波动风险的影响是行为金融学的重要观点,据此,本文基于股市投资者社会网络构建具有连续性和时效性的情绪扩散模型,通过量化情绪扩散对股市投资者交易决策的影响,明确投资者情绪扩散与股价波动风险之间的影响机制,进而分析股价波动风险的影响因素和控制策略。研究结果表明,投资者情绪扩散能够促进股价的波动,而具体影响程度由情绪扩散特征、投资者特征以及股市特征共同决定,并且机构投资者对于股价波动的影响具有双重特征,基于不同影响因素的研究结果为股价波动风险的防范提供了监管参考。进一步研究表明,基于全局信息的目标免疫方法能够有效控制股价波动风险,这对于维护股市稳定具有重要的意义。

关键词: 社会网络, 独立级联模型, 投资者情绪, 股价波动

Abstract: The impact of investor sentiment on stock price fluctuation risk is an important point in behavioral finance. Therefore, this paper proposes a continuous and timely sentiment diffusion model based on the social network of stock market investors. Accordingly, the mechanism of interaction between investor sentiment diffusion and stock price fluctuation risk is clarified by quantifying the impact of sentiment diffusion on stock market investors’ trading decisions. In addition, the influencing factors and control strategies of stock price fluctuation risk are analyzed. The results show that investor sentiment diffusion promotes the stock price fluctuation. The influence is determined by the characteristics of sentiment diffusion, investors and stocks. Moreover, the impact of institutional investors on stock price volatility has dual characteristics. The results based on different influencing factors provide regulatory reference for the prevention of stock price fluctuation risk. Further research shows that the target immune based on global information can effectively control the stock price fluctuation risk. This is of great significance to improve the stability of the stock market.

Key words: social network, independent cascade model, investor sentiment, stock price fluctuation

王超, 何建敏, 姚鸿. 基于社会网络的情绪扩散与股价波动风险研究[J]. 管理评论, 2022, 34(12): 16-25.

Wang Chao, He Jianmin, Yao Hong. A Social Network Based Research on Investor Sentiment Diffusion and Stock Price Fluctuation Risk[J]. Management Review, 2022, 34(12): 16-25.

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