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Les spams boursiers : Etude empirique sur le marché des penny stocks

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Author Info
Taoufik Bouraoui

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Abstract

This survey appears in extension of a previous exploratory survey (Bouraoui, 2008) dedicated to the impact of stock spams on volumes. The interest of the present research is to study the impact on stock prices while taking into account the evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of hundred ten firms of penny stocks over the period from February 2006 to June 2008. Our results show that sending stock spams has generated significant variations and positive returns during the first three days after the event.

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File URL: http://economix.u-paris10.fr/pdf/dt/2008/WP_EcoX_2008-41.pdf
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Publisher Info
Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2008-41.

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Length: 21 pages
Date of creation: 2008
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Handle: RePEc:drm:wpaper:2008-41

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Related research
Keywords: stock spam; penny stock; event study; GARCH;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-12-17.

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