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Les spams boursiers : Etude empirique sur le marché des penny stocks

Author

Listed:
  • Taoufik Bouraoui

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Ce travail s'inscrit dans le prolongement d'une étude antérieure (Bouraoui, 2008) consacrée à l'étude de l'impact des spams boursiers sur les volumes. Il se focalise sur l'impact sur les cours boursiers tout en tenant compte de l'évolution de la volatilité au cours du temps à l'aide d'une modélisation GARCH (1,1). La méthodologie utilisée est celle des études d'événements appliqués à un échantillon de 110 firmes de penny stock sur la période allant de Février 2006 à Juin 2008. Nos résultats révèlent que l'envoi des spams boursiers a engendré des variations significatives et positives des rendements pendant les trois premiers jours suivant l'événement.

Suggested Citation

  • Taoufik Bouraoui, 2008. "Les spams boursiers : Etude empirique sur le marché des penny stocks," Working Papers hal-04140710, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140710
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140710
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