The impact of stock spams on volatility
AbstractThis paper is dedicated to study the impact of stock spams through the analysis of the variations of volatility. We use the methodology of event studies on a sample of hundred ten firms. The results show positive and significant changes in volatility during 12 days of the event window; 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, indicating thus that the spamming activity is a lucrative business.
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2009-30.
Length: 26 pages
Date of creation: 2009
Date of revision:
Stock spam; event studies; volatility; penny stock;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-11 (All new papers)
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