The impact of stock spams on volatility

Taoufik Bouraoui

No 2009-30, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: This paper is dedicated to study the impact of stock spams through the analysis of the variations of volatility. We use the methodology of event studies on a sample of hundred ten firms. The results show positive and significant changes in volatility during 12 days of the event window; 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, indicating thus that the spamming activity is a lucrative business.

Keywords: Stock spam; event studies; volatility; penny stock (search for similar items in EconPapers)
JEL-codes: C12 D84 G14 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2009
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http://economix.fr/pdf/dt/2009/WP_EcoX_2009-30.pdf (application/pdf)

Related works:
Journal Article: The impact of stock spams on volatility (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2009-30

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