The Role of Reddit in the GameStop Short Squeeze

16 Pages Posted: 24 Jun 2021 Last revised: 28 Dec 2021

See all articles by Abhinav Anand

Abhinav Anand

IIM Bangalore

Jalaj Pathak

Great Lakes Institute of Management

Date Written: December 27, 2021

Abstract

Adapting recent innovations in text analysis on microblogging platforms, we present evidence that the tone of discussions on the subredditt r/wallstreetbets (WSB) displayed significant predictive associations with intraday GameStop returns, volatility, bid-ask spreads as well as volumes. Most importantly, we show that the comment distribution on the subreddit obeyed a power law, and that it was a tiny minority of 462 most influential subredditors whose posts most impacted the GME stock returns and volatility.

Keywords: Short Squeeze, GameStop, WallStreetBets

JEL Classification: D91, G14, G40

Suggested Citation

Anand, Abhinav and Pathak, Jalaj, The Role of Reddit in the GameStop Short Squeeze (December 27, 2021). IIM Bangalore Research Paper No. 644, Available at SSRN: https://ssrn.com/abstract=3873099 or http://dx.doi.org/10.2139/ssrn.3873099

Abhinav Anand (Contact Author)

IIM Bangalore ( email )

Bannerghatta Road
Bangalore, 560 076
India

Jalaj Pathak

Great Lakes Institute of Management ( email )

24 South Mada St.
Srinagar Colony, Saidapet
Chennai, 600083
India

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