| After more than 30 years of rapid development,China’s securities market has become an important part of China’s financial system,from an "experimental field" of economic reform to the second largest in the world in terms of market value.It plays a huge role in promoting macroeconomic stability,supporting the development of the real economy and improving market efficiency.The past research shows that institutional investors often have a significant impact on financial markets by virtue of their abundant capital,rich investment experience and strong information analysis and extraction capabilities.In the financial market,especially in the context of the rapid development of Internet technology,retail investors,as important participants in the financial market,transmit and receive a large amount of financial information through social networks formed by the Internet and other channels,which has a far-reaching impact on retail investors’ cognition and trading mode,and then affects the financial market.Take the "Game Stop" incident as an example.The financial populism sprouted during the financial crisis continued to ferment during the epidemic.Coupled with the development of the Internet,the information cost of participating in the transaction decreased.In early 2021,GME’s retail investors "huddled together" to launch a short-selling war,which made GME’s share price rise rapidly after the short-selling was launched.Therefore,based on the perspective of social network,this paper studies the relationship between investor sentiment and asset prices by establishing a pricing model,and further explores the impact on financial markets,thus revealing the law of asset prices and understanding the internal logic of market anomalies.On the basis of combing the existing related research results,this paper uses the market inefficiency,noise trading theory and sentimental contagion theory,and adopts mathematical analysis and simulation method to study the relationship among investor sentiment,social network and capital market.The research subject of this paper includes two aspects: First,by establishing an emotional pricing model based on information cost,it analyzes the changes of investors’ sentimental sensitivity and market efficiency under the condition of low information cost.Secondly,the social network is included in the investor’s sentimental pricing model,and the change of investor’s emotional sensitivity from the perspective of social network is analyzed,as well as the influence of social network connectivity and the quality of information transmitted through social network on market efficiency,market predictability and capital cost.Through the above analysis,the main conclusions are as follows:In the pricing model based on information cost,we find that the possibility of emotional variation of retail investors is small:(1)The ratio of expected utility of informed institutional investors to rational but uninformed institutional investors first decreases and then increases with the increase of information cost.In addition,a large number of retail investors "hold a group" to concentrate on buying stocks shorted by institutional investors,thus pushing up the stock price with the strength of the group.(2)The variance of asset prices reaches a maximum when the number of retail investors tends to zero,and then decreases and then increases with the increase of the proportion of retail traders in the market.(3)The information degree of the price system is slower to the change of the market proportion of retail investors.In the pricing model based on social network,we find that:(1)In different market environments,the changing trend of investors’ sentimental sensitivity is different,and it is found that social network will have an impact on financial markets.(2)A high level of social network connectivity will reduce market efficiency and enhance the predictability of market returns,and how the level of social network connectivity affects the cost of capital is closely related to asset value and investor sentiment.Combined with the research conclusion,this paper puts forward different opinions and suggestions to relevant subjects from the perspectives of giving full play to the positive role of institutional investors,enhancing the investment ability of individual investors through multiple channels,creating a healthy network environment,and encouraging listed companies to disclose relevant information on their own initiative,with a view to the sustained and healthy development of financial markets. |
