S-Lab
Who Influences Whom?
Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion (herding and dispersing) and information cascades (imitate herding) among investors and sectors, we deploy the jump-diffusion Hawkes process on investor sentiment -- a novel dataset from StockTwits. Calibrating the process, we find that (i) there is strong statistical evidence that supports self-excitation within all groups, with a few exceptions, and cross-excitation between several pairs within each category (ii) the COVID-19 Pandemic period systematically has a high impact on the occurrence of self-excitation and dispersing, and (iii) fundamental, professional, and swing traders are the most influential investors and leading in information cascades within investment approach, experience, and holding period categories, respectively, while momentum, novice, and position traders are the least.
Reference: Fallahgoul, Hasan and Lin, Xin, Who Influences Whom? Behaviour Cantagion among Investors (Nov 6, 2020). Available at SSRN
BibTex:
@article{fallahgoul2020influences,
title={Who Influences Whom? Behavior Contagion Among Investors},
author={Fallahgoul, Hasan and Lin, Xin},
journal={Available at SSRN (November 6, 2020)},
year={2020}
}
Downloadable Sentiment Data
Market Sentiment [Download]
Investment Approach [Download]
Investment Experience [Download]
Investment Holding Period [Download]
Sectors [Download]