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The impact of stock spams on volatility

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  • Taoufik Bouraoui

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This 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.

Suggested Citation

  • Taoufik Bouraoui, 2009. "The impact of stock spams on volatility," Working Papers hal-04140863, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140863
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140863
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    References listed on IDEAS

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