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.
Download full text files
Additional Services
| Author: | Frederik KönigGND |
|---|---|
| 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 |
