Intensity Bursts in WallStreetBets Discussion and Stock Markets Trading
(With Yoichi Otsubo and Ser-Huang Poon in SSRN)
- 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.
- Presentations (*by co-author): Financial Econometrics Conference to mark Stephen Taylor’s Retirement, Sofia University, 2023 Nippon Finance Association Annual Conference, 12th International Conference of the Financial Engineering and Banking Society (FEBS), 2024 British Accounting and Finance Association (BAFA) Annual Conference, Finance and Business Analytics Conference (FBA) Edition III