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

Abstract

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

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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