北京航空航天大学学报(社会科学版) ›› 2017, Vol. 30 ›› Issue (6): 40-45.DOI: 10.13766/j.bhsk.1008-2204.2016.0019

• 经济与管理 • 上一篇    下一篇

社交媒体能促进价格发现吗?

刘善存, 曾庆铎, 陈彬彬, 黄笃学   

  1. 北京航空航天大学 经济管理学院, 北京 100083
  • 收稿日期:2016-01-13 出版日期:2017-11-25 发布日期:2017-11-23
  • 作者简介:刘善存(1964-),男,河北枣强人,教授,博士,研究方向为金融市场微观结构.
  • 基金资助:

    国家社会科学基金资助项目(71371023,71371024)

Can Social Media Promote Price Discovery?

LIU Shancun, ZENG Qingduo, CHEN Binbin, HUANG Duxue   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2016-01-13 Online:2017-11-25 Published:2017-11-23

摘要:

流动性提供和价格发现是金融市场的两个基本功能,社交媒体能否有效地集聚信息进而促进价格发现?在理性预期均衡模型的假设下,考虑社交媒体传播关于股票基本面价值信息,通过分析信息质量对市场效率、市场流动性以及资本成本的影响过程,研究了社交媒体对价格发现的促进效应。结论显示:相关信息传播能促进价格发现,且相关性越高,市场效率越高,资本成本越低。无关信息传播则阻碍价格发现,跟随者的"羊群行为"导致价格的信息含量减少,且媒体信息的方差越大,市场效率越低,资本成本越高。

关键词: 理性预期模型, 均衡, 社交媒体, 价格发现, 噪声

Abstract:

Liquidity providing and price discovery are two basic functions of financial market. Can social media gather information effectively and promote price discovery? Based on rational expectation equilibrium model, this paper investigates the effect of social media on promoting price discovery by considering social media spreading information about stock fundamental value, and explores the impact of information quality on market efficiency, market liquidity and capital cost. The study draws a conclusion that media information transmission can promote price discovery. It is documented that the correlation of media information and fundamental value is positively related to market efficiency and negatively related to capital cost. However, rumor propagation has an impeditive effect on price discovery. We show that traders' herd behavior decreases price informativeness, and the greater the variance of rumors, the lower of market efficiency and the higher of capital cost.

Key words: rational expectation model, equilibrium, social media, price discovery, noise

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