On the “mementum” of meme stocks

Michele Costola (), Matteo Iacopini () and Carlo Santagiustina
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Michele Costola: University of Ca’ Foscari [Venice, Italy]
Matteo Iacopini: LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma]

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Abstract: The meme stock phenomenon has yet to be explored. In this note, we provide evidence that these stocks display common stylized facts for the dynamics of price, trading volume, and social media activity. Using a regime-switching cointegration model, we identify the meme stock ''mementum'' which exhibits a different characterization compared to other stocks with high volumes of activity (persistent and not) on social media. Finally, we show that mementum is significant and positively related to the stock's returns. Understanding these properties helps investors and market authorities in their decisions.

Keywords: Meme stocks; Social media; Social trading; Cointegration; Regime switching; Time series; Cointegrated series; Memes; Meme; Twitter; X (search for similar items in EconPapers)
Date: 2021-08-05
Note: View the original document on HAL open archive server: https://hal.science/hal-04874781v1
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Published in Economics Letters, 2021, 207, pp.110021. ⟨10.1016/j.econlet.2021.110021⟩

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Related works:
Journal Article: On the “mementum” of meme stocks (2021)
Working Paper: On the "mementum" of Meme Stocks (2021)
Working Paper: On the “mementum” of meme stocks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-04874781

DOI: 10.1016/j.econlet.2021.110021

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