On the "mementum" of Meme Stocks*

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Conflicts of Interest

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Paper Summary

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When the Internet Goes Wild for Stocks: Economists Try to Figure Out "Meme-mentum"

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.

Possible Conflicts of Interest

None identified

Identified Weaknesses

Data Source Specificity

The empirical analysis relies solely on Twitter data. While the methodology is claimed to be generalizable, the specific findings are tied to the dynamics observed on Twitter, potentially missing coordination effects on other crucial platforms like Reddit or Discord.

Empirical Parameter Selection

The study uses empirically set persistence and delay parameters (dc = 2, dp = 2, dc = 1, and df = 1) for identifying meme periods. Although robustness is claimed, explicit evidence or sensitivity analysis for these choices is not presented, which could influence the identified periods.

Reliance on a Derived Concept

Mementum is a construct derived from a statistical model (cointegration and regime switching). While useful for analysis, its interpretation and direct observability are inherently tied to the model's assumptions.

Rating Explanation

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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