On the "mementum" of meme stocks

  • The meme stock phenomenon has yet to be explored. In this note, we provide evidence that these stocks display common stylized facts for 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 compared to other stocks with high volumes of activity (persistent and not) on social media. Finally, we show that mementum is significant and positively related to the stock’s returns. Understanding these properties helps investors and market authorities in their decisions.

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Author:Michele CostolaORCiD, Matteo IacopiniORCiD, Carlo R. M. A. SantagiustinaORCiD
Parent Title (English):Economics letters
Place of publication:Amsterdam
Document Type:Article
Date of Publication (online):2021/08/14
Date of first Publication:2021/08/05
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2023/11/10
Tag:Cointegration; Meme stocks; Regime switching; Social media; Social trading
Article Number:110021
Page Number:6
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!)
G Financial Economics / G5 G5 / G50 G50
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C58 C58
Licence (German):License LogoCreative Commons - CC BY-NC-ND - Namensnennung - Nicht kommerziell - Keine Bearbeitungen 4.0 International