The influence of social network structure on stock price disclosure

Zhaoyuan Wang, Shancun Liu and Haijun Yang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 533, issue C

Abstract: We propose a new heterogeneous agent model of a dynamic continuous double auction stock market embedding multiple social network to investigate the influence of different network structures on stock price disclosure. According to the four network formation algorithms (preferential connection, random connection, weighted random connection and random reconnection), we construct scale-free random network, weighted random network and small-world network respectively. We find that the small-world characteristic of social network speed up the diffusion of private information in market, and then improve market efficiency and promote price discovery. Furthermore, to some extent, simulation results indicate that the network structure can explain the occurrence of anomalies like underreaction and overreaction in the financial market.

Keywords: Social networks; Price disclosure; Information diffusion; Anomalies (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311653

DOI: 10.1016/j.physa.2019.122064

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