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The impact of stock spams on volatility

Author

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  • Taoufik Bouraoui

    (ESC [Rennes] - ESC Rennes School of Business)

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.

Suggested Citation

  • Taoufik Bouraoui, 2011. "The impact of stock spams on volatility," Post-Print hal-04013186, HAL.
    • Handle: RePEc:hal:journl:hal-04013186
    DOI: 10.1080/09603107.2011.562159
    as

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