How does an online influencer manipulate the stock market?

被引：0
|
作者：
Zhang, Zhigang [1 ]
Zhang, Qiang [2 ]
Liu, Shancun [3 ]
Wang, Jiarui [3 ]
机构：
[1] Beijing Univ Chem Technol, Coll Math & Phys, Beijing 100029, Peoples R China
[2] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China
[3] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2023年 / 58卷
基金：
中国国家自然科学基金;
关键词：
Online influencer; Predatory trading; Market quality; Price informativeness;
D O I：
10.1016/j.frl.2023.104331
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We construct a two-period Kyle model to investigate how a financial online influencer manipulates the stock market. Given that an online influencer usually has many loyal fans, he first places a random order in the market and transmits its signal to his fans, and then engages in predatory trading in the second period. We provide a sufficient condition for the motivation of the influencer manipulating the market. With the increase in the number and the level of fans' loyalty, the market liquidity is improved while the influencer enhances the intensity of predatory trading resulting in worse deteriorated price informativeness.
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页数：9
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