The impact of stock spams on volatility

Taoufik Bouraoui
Additional contact information
Taoufik Bouraoui: ESC [Rennes] - ESC Rennes School of Business

Post-Print from HAL

Abstract: 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.

Date: 2011-02-15
References: Add references at CitEc
Citations:

Published in Applied Financial Economics, 2011, 21 (13), pp.969-977. ⟨10.1080/09603107.2011.562159⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04013186

DOI: 10.1080/09603107.2011.562159

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().