Who Influences Whom? Behavior Contagion among Investors
99 Pages Posted: 15 Jan 2021
Date Written: November 6, 2020
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: Suggested Citation