2021/06/07 by Costola, Michele, Iacopini, Matteo, Santagiustina, Carlo R. M. A.
#Applications (stat.AP) #Econometrics (econ.EM) #FOS: Computer and information sciences #FOS: Economics and business #General Finance (q-fin.GN)
paper · doi:10.48550/arxiv.2106.03691
The meme stock phenomenon is yet to be explored. In this note, we provide evidence that these stocks display common stylized facts on the dynamics of price, trading volume, and social media activity. Using a regime-switching cointegration model, we identify the meme stock "mementum" which exhibits a different characterization with respect to other stocks with high volumes of activity (persistent and not) on social media. Understanding these properties helps the investors and market authorities in their decision.