Does social interaction destabilise financial markets?
- With this paper, I propose a simple asset pricing model that accounts for the influence from social interaction. Investors are assumed to make up their mind about an asset's price based on a forecasting strategy and its past profitability as well as on the contemporaneous expectations of other market participants. Empirically analysing stocks in the DAX30 index, I provide evidence that social interaction rather destabilises financial markets. At least, it does not have a stabilising effect.
Author: | Frederik KönigGND |
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URN: | urn:nbn:de:hebis:30:3-300718 |
Parent Title (German): | Soziale Interaktion auf Finanzmärkten |
Publisher: | Univ.-Bibliothek |
Place of publication: | Frankfurt am Main |
Document Type: | Part of a Book |
Language: | English |
Year of Completion: | 2013 |
Year of first Publication: | 2013 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2013/06/06 |
Tag: | (De-)stabilisation; Asset Pricing; Social Interaction |
Page Number: | 39 |
First Page: | 31 |
Last Page: | 69 |
Note: | Bestandteil der kumulativen Dissertation "Soziale Interaktion auf Finanzmärkten" Johann Wolfgang Goethe-Univ. Frankfurt am Main, 2013. Aktualisierte Fassung der Version http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2133960 |
HeBIS-PPN: | 347491154 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 30 Sozialwissenschaften, Soziologie / 300 Sozialwissenschaften |
3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft | |
JEL-Classification: | A General Economics and Teaching / A1 General Economics / A14 Sociology of Economics |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |