Les spams boursiers: Etude empirique sur le marché des penny stocks
Taoufik Bouraoui ()
No 2008-41, EconomiX Working Papers from University of Paris Nanterre, EconomiX
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.
Keywords: stock spam; penny stock; event study; GARCH (search for similar items in EconPapers)
JEL-codes: C13 D84 G14 (search for similar items in EconPapers)
Pages: 21 pages
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2008-41
Access Statistics for this paper
More papers in EconomiX Working Papers from University of Paris Nanterre, EconomiX Contact information at EDIRC.
Bibliographic data for series maintained by Valerie Mignon ().