Michele Costola, Matteo Iacopini, Carlo R. M. A. Santagiustina
arXiv 7 Jun 2021 · Econometrics · publishedEconomics Letters (2021) · 1 citations (OpenAlex)
arXiv:2106.03691 · PDF · DOI · OpenAlex · Extracted main text
The meme stock phenomenon is yet to be explored. In this note, we provide evidence that these stocks display common stylized facts on 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 with respect to other stocks with high volumes of activity (persistent and not) on social media. Understanding these properties helps the investors and market authorities in their decision.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chew Lian Chua and Sarantis Tsiaplias (2018) A Bayesian approach to modeling time-varying cointegration and cointegrating rank | 0.511 | 2 | 1 | 100% |
| 2 | J Bradford De Long, Andrei Shleifer, Lawrence H Summers, and Robert… (1990) Noise trader risk in financial markets | 0.405 | 1 | 1 | 100% |
| 3 | Robert F. Engle and Clive W.J. Granger (1987) Co-integration and error correction: representation, estimation, and testing | 0.405 | 1 | 1 | 100% |
| 4 | Sren Johansen (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models | 0.405 | 1 | 1 | 100% |
| 5 | Gary Koop, Roberto Leon-Gonzalez, and Rodney W Strachan (2011) Bayesian inference in a time varying cointegration model | 0.405 | 1 | 1 | 100% |
| 6 | Zaghum Umar, Mariya Gubareva, Imran Yousaf, and Shoaib Ali (2021) A tale of company fundamentals vs sentiment driven pricing: The case of GameStop | 0.405 | 1 | 1 | 100% |
| 7 | Elizabeth Warren (2021) Letter to the Acting Chair of the U.S. Securities and Exchange Commission (SEC) | 0.405 | 1 | 1 | 100% |
Showing the top 7 of 7 scored citations.