Who Influences Whom? Behavior Contagion among Investors

99 Pages Posted: 15 Jan 2021

See all articles by Hasan Fallahgoul

Hasan Fallahgoul

Monash University

Xin Lin

Monash University - School of Mathematical Sciences; Monash University

Date Written: November 6, 2020

Abstract

Social interaction and information transmission are essential components of pricing and trading in financial markets. To investigate the behavior contagion and information cascades among investors and sectors, we deploy a jump-diffusion process on investor sentiment -- a novel dataset from StockTwits. Calibrating the process, we find that 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. Furthermore, the COVID-19 Pandemic period systematically has a high impact on the occurrence of dispersing.

Keywords: Sentiment; Jumps; Hawkes Processes; Behaviour Contagion; Herding/dispersing; Information Cascades

JEL Classification: C58; G4; C32

Suggested Citation

Fallahgoul, Hasan A and Lin, Xin, Who Influences Whom? Behavior Contagion among Investors (November 6, 2020). Available at SSRN: https://ssrn.com/abstract=3764238 or http://dx.doi.org/10.2139/ssrn.3764238

Hasan A Fallahgoul (Contact Author)

Monash University ( email )

Clayton Campus
Victoria, 3800
Australia

HOME PAGE: http://www.hfallahgoul.com

Xin Lin

Monash University - School of Mathematical Sciences ( email )

Clayton Campus
Victoria, 3800
Australia

Monash University ( email )

Clayton Campus
Victoria, 3800
Australia

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