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On the “mementum” of meme stocks

Author

Listed:
  • Michele Costola

    (University of Ca’ Foscari [Venice, Italy])

  • Matteo Iacopini

    (LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Carlo Romano Marcello Alessandro Santagiustina

    (médialab - médialab (Sciences Po) - Sciences Po - Sciences Po, University of Ca’ Foscari [Venice, Italy])

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.

Suggested Citation

  • Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," Post-Print hal-04874781, HAL.
    • Handle: RePEc:hal:journl:hal-04874781
    DOI: 10.1016/j.econlet.2021.110021
    Note: View the original document on HAL open archive server: https://hal.science/hal-04874781v1
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    References listed on IDEAS

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    Cited by:

    1. Warkulat, Sonja & Pelster, Matthias, 2024. "Social media attention and retail investor behavior: Evidence from r/wallstreetbets," International Review of Financial Analysis, Elsevier, vol. 96(PB).

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