From the echo chamber of information to the echo chamber of cognition

AI is breaking the information cocoon in the market, but market volatility has not significantly decreased. The reason is that after the information gap narrows, the variables determining price divergence are shifting from information differences to cognitive differences. Data shows that the dispersion of sell-side EPS forecasts for two representative stocks has significantly decreased after the release of ChatGPT, indicating that differences at the information level are rapidly converging. However, during the same period, the 60-day realized volatility of the S&P 500 index and the VIX central value only slightly declined and did not show a significant drop. More importantly, the DSPX index, which measures the implied volatility dispersion of S&P 500 component stocks, actually increased by 30.6%, indicating that volatility has not disappeared but has shifted from systemic volatility to heterogeneous volatility.

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