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On the “mementum” of meme stocks

Author

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  • Costola, Michele
  • Iacopini, Matteo
  • Santagiustina, Carlo R.M.A.

Abstract

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.

Suggested Citation

  • Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021. "On the “mementum” of meme stocks," Economics Letters, Elsevier, vol. 207(C).
    • Handle: RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521002986
    DOI: 10.1016/j.econlet.2021.110021
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    Cited by:

    1. Ilaria Gianstefani & Luigi Longo & Massimo Riccaboni, 2022. "The echo chamber effect resounds on financial markets: a social media alert system for meme stocks," Papers 2203.13790, arXiv.org.
    2. Jones, Jason J., 2021. "A Dataset for the Study of Identity at Scale: Annual Prevalence of American Twitter Users with specified Token in their Profile Bio - 2015-2020," SocArXiv cm5g7, Center for Open Science.
    3. Hideyuki Takagi, 2021. "Exploring the Endogenous Nature of Meme Stocks Using the Log-Periodic Power Law Model and Confidence Indicator," Papers 2110.06190, arXiv.org.

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    More about this item

    Keywords

    Meme stocks; Social media; Social trading; Cointegration; Regime switching;
    All these keywords.

    JEL classification:

    • G50 - Financial Economics - - Household Finance - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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