Elsevier

Economics Letters

Volume 207, October 2021, 110021
Economics Letters

On the “mementum” of meme stocks

https://doi.org/10.1016/j.econlet.2021.110021Get rights and content
Under a Creative Commons license
open access

Highlights

  • We characterize the “mementum” of stocks.

  • We find that meme stocks share common dynamics for price, volume, and social activity.

  • We identify the mementum of stocks via a regime-switching cointegration model.

  • We show that mementum is significant and positively related to the stock’s returns.

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.

JEL classification

G50
C32
C58

Keywords

Meme stocks
Social media
Social trading
Cointegration
Regime switching

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