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


  • 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.

Suggested Citation

  • Taoufik Bouraoui, 2008. "Les spams boursiers : Etude empirique sur le marché des penny stocks," EconomiX Working Papers 2008-41, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2008-41

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    stock spam; penny stock; event study; GARCH;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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