社交媒体能促进价格发现吗?  

Can Social Media Promote Price Discovery?

作　　者：刘善存[1] 曾庆铎[1] 陈彬彬[1] 黄笃学[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《北京航空航天大学学报（社会科学版）》2017年第6期40-45,共6页Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition

基　　金：国家社会科学基金资助项目(71371023;71371024)

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。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.

关 键 词：理性预期模型 均衡 社交媒体 价格发现 噪声 

分 类 号：F830.9[经济管理—金融学]