The impact of stock spams on volatility - Rennes School of Business Access content directly
Journal Articles Applied Financial Economics Year : 2011

The impact of stock spams on volatility

Abstract

This article is dedicated to study the impact of stock spams through the analysis of the variations of volatility. Our sample contains 110 firms quoted on emerging market, namely the penny stock market. The results, based on event study methodology and Generalized Autoregressive Conditional Heteroscedastic (GARCH) modelling, show positive and significant changes in volatility; a widening of the variation (lowest price–highest price) was noticed following the consignment of messages by the spammers. The sending of stock spams affected the behaviour of investors, thus indicating that the spamming activity is a lucrative business.

Dates and versions

hal-04013186 , version 1 (03-03-2023)

Identifiers

Cite

Taoufik Bouraoui. The impact of stock spams on volatility. Applied Financial Economics, 2011, 21 (13), pp.969-977. ⟨10.1080/09603107.2011.562159⟩. ⟨hal-04013186⟩
4 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More