The impact of stock spams on volatility
Taoufik Bouraoui ()
Applied Financial Economics, 2011, vol. 21, issue 13, 969-977
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.
Keywords: stock spam; event studies; GARCH; volatility (search for similar items in EconPapers)
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Working Paper: The impact of stock spams on volatility (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:21:y:2011:i:13:p:969-977
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