Intensity Bursts in WallStreetBets Discussion and Stock Markets Trading

Siliang Wei*, Yoichi Otsubo, Ser-Huang Poon

*Corresponding author for this work

Research output: Preprint/Working paperWorking paper

Abstract

Our study introduces the concept of WallStreetBets (WSB) submission intensity bursts (IB), offering a novel perspective by distinguishing varying levels of social media activity. Using a Difference-in-Differences approach, we establish a causal link between IBs and key market outcomes, including trading turnover, daily and overnight abnormal returns. We further find that IBs during regular trading hours (RTH) have a stronger and more lasting impact on stock returns compared to those outside RTH, with swift reversals observed on a half-day basis. Additionally, stocks targeted by WSB users typically exhibit a decrease in short interest ratios following an IB, suggesting the WSB users may anticipate short squeeze opportunities, adding strategic nuance to social media's market influence.
Original languageEnglish
PublisherSocial Science Research Network
Pages1-63
Number of pages63
Publication statusUnpublished - 26 Nov 2024

Keywords

  • Social Media
  • Stock Market Dynamics,
  • WallStreetBets
  • Submission Intensity Bursts
  • Short Selling
  • Trading Turnover
  • Meme stocks

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