Price Linkage Rumors in the Stock Market and Investor Risk Contagion on Bilayer-Coupled Networks

Abstract EN

Investor heterogeneities include investor risk preference, investor risk cognitive level, information value, and investor influence.

From the perspective of the stock price linkage, this article constructs an SCIR contagion model of investor risk on a single-layer network.

It digs out the investor risk caused by rumors in the stock market under the stock price linkage and its contagion mechanism.

The function and influence of different mechanism probabilities and investor heterogeneities on the effects of risk contagion in the stock market are explored through computer simulation.

Based on the SCIR contagion model of investor risk on single-layer network, we construct an SCI1I2R contagion model of investor risk on bilayer-coupled networks.

Initially, the evolution mechanisms of investor risk contagion in the stock market are compared in single-layer and bilayer-coupled networks.

Thereafter, the evolution characteristics and rules of investor risk contagion under different connection modes and heterogeneous mechanism probabilities are compared on bilayer-coupled networks.

The results corroborate the following.

(1) In the SCIR contagion model of investor risk on a single-layer network, immune failure probability and immune probability have the “global effect”.

(2) Investor heterogeneities both have “global effect” and “local effect” on investor risk contagion.

(3) Compared with the investor risk contagion on a single-layer network, bilayer-coupled networks can expand the investor risk contagion and have a “global enhancement” effect.

(4) Among the three interlayer connection modes of the SCI1I2R model of investor risk contagion on bilayer-coupled networks, the assortative link has the effect of “local enhancement”, while the disassortative link has the effect of “local inhibition”.

(5) In the SCI1I2R model of investor risk contagion on bilayer-coupled networks, heterogeneous mechanism probabilities have “global effect” and “local effect”.

The research conclusion provides a theoretical basis for regulators to prevent financial risks from spreading among different investors, which is of high theoretical value and practical significance.