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

Listed author(s):
  • Taoufik Bouraoui

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.fr/pdf/dt/2008/WP_EcoX_2008-41.pdf
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Paper provided by University of Paris Nanterre, EconomiX in its series EconomiX Working Papers with number 2008-41.

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Length: 21 pages
Date of creation: 2008
Handle: RePEc:drm:wpaper:2008-41
Contact details of provider: Postal:
200 Avenue de la République, Bât. G - 92001 Nanterre Cedex

Web page: https://economix.fr/
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