The impact of stock spams on volatility
Taoufik Bouraoui ()
No 2009-30, EconomiX Working Papers from University of Paris Nanterre, EconomiX
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: G14 D84 C12 (search for similar items in EconPapers)
Pages: 26 pages
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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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