On the “mementum” of meme stocks

Michele Costola, Matteo Iacopini and Carlo Santagiustina

Economics Letters, 2021, vol. 207, issue C

Abstract: The meme stock phenomenon has yet to be explored. In this note, we provide evidence that these stocks display common stylized facts for the dynamics of price, trading volume, and social media activity. Using a regime-switching cointegration model, we identify the meme stock “mementum” which exhibits a different characterization compared to other stocks with high volumes of activity (persistent and not) on social media. Finally, we show that mementum is significant and positively related to the stock’s returns. Understanding these properties helps investors and market authorities in their decisions.

Keywords: Meme stocks; Social media; Social trading; Cointegration; Regime switching (search for similar items in EconPapers)
JEL-codes: C32 C58 G50 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: On the "mementum" of Meme Stocks (2021)
Working Paper: On the “mementum” of meme stocks (2021)
Working Paper: On the “mementum” of meme stocks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:207:y:2021:i:c:s0165176521002986

DOI: 10.1016/j.econlet.2021.110021

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