On the "mementum" of Meme Stocks*
Descripción general
Resumen del artículo
This paper introduces "mementum," a new concept describing periods where social media coordination significantly drives stock prices and trading volumes. Using a regime-switching cointegration model on Twitter data, the authors successfully identify these "meme periods" in well-known meme stocks like GameStop and AMC, distinguishing them from other periods of high social media activity in non-meme stocks. The study is limited to Twitter data for its empirical application, though the methodology is presented as platform-agnostic.
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Sometimes, a stock's price and how much it's bought and sold act like they're dancing together with what people say on social media, especially when many online friends decide to buy it at once. This study created a special math tool to spot these "meme stock dances."
Posibles conflictos de intereses
None identified
Limitaciones identificadas
Explicación de la calificación
The paper introduces a novel and timely econometric framework to formally define and identify "meme periods" in financial markets, contributing significantly to understanding a new phenomenon. The methodology is robust and the findings are clearly presented, though the reliance on a single social media platform for empirical analysis and empirically set model parameters represent minor limitations.
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