On the “mementum” of Meme Stocks

10 Pages Posted: 8 Jun 2021

See all articles by Michele Costola

Michele Costola

Ca' Foscari University of Venice

Matteo Iacopini

VU University Amsterdam - Department of Econometrics

Carlo Santagiustina

Ca'Foscari University of Venice - Department of Economics; Venice International University

Date Written: June 7, 2021

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. Understanding these properties helps investors and market authorities in their decisions.

Keywords: Meme stocks, Social media, Social trading, Cointegration, Regime switching

JEL Classification: G50, C32, C58

Suggested Citation

Costola, Michele and Iacopini, Matteo and Santagiustina, Carlo Romano Marcello Alessandro, On the “mementum” of Meme Stocks (June 7, 2021). Available at SSRN: https://ssrn.com/abstract=3861779 or http://dx.doi.org/10.2139/ssrn.3861779

Michele Costola

Ca' Foscari University of Venice ( email )

Cannaregio 873
Venice, 30121
Italy

Matteo Iacopini (Contact Author)

VU University Amsterdam - Department of Econometrics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Carlo Romano Marcello Alessandro Santagiustina

Ca'Foscari University of Venice - Department of Economics ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/data/persone/11229706

Venice International University ( email )

Isola di San Servolo
Venice
Italy

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