A Wikipedia Narration of the GameStop Short Squeeze

Abstract

This paper examines the usefulness of Wikipedia pageviews as indicator of the performance of stock prices. We examine the GameStop (GME) case, which drew the investors’ and scholars’ attention in 2021 due to the short squeeze, and its skyrocketing price increase since 2021. We use the daily number of pageviews of Wikipedia pages for COVID-19, GameStop, and Short Squeeze as explanatory variables for the period 31/12/2018-30/3/2022. The results show strong statistical evidence that increased number of Wikipedia pageviews for COVID-19, which represents the fear of the pandemic, has a negative impact on the GME performance. Moreover, the findings show that the increased interest in information regarding the short squeeze, as expressed by the increased number of pageviews of the relative Wikipedia page, is positively linked with the GME price. The econometric analysis shows that the interest indicator of GME has a positive coefficient, but it is not confirmed at significant statistical level. Finally, the empirical results show that the volatility is higher when the GME enters the period of skyrocketing price increase. This anti-leverage effect, which is exactly the opposite of the widely documented stylized fact of financial time series known as the leverage effect, could be assumed as a new way to test for market abnormalities.

Keywords: Short Squeeze; Anti-leverage Effect; Abnormal returns; Wikipedia pageviews; COVID-19

JEL Classification: G12; G41; I12