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 language | English |
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Publisher | Social Science Research Network |
Pages | 1-63 |
Number of pages | 63 |
Publication status | Unpublished - 26 Nov 2024 |
Keywords
- Social Media
- Stock Market Dynamics,
- WallStreetBets
- Submission Intensity Bursts
- Short Selling
- Trading Turnover
- Meme stocks