Betzer André, Harries Jan Philipp
University of Wuppertal, Gaußstraße 20, 42119 Wuppertal, Germany.
Financ Mark Portf Mang. 2022;36(4):443-472. doi: 10.1007/s11408-022-00407-w. Epub 2022 Mar 30.
In January 2021, the stock price of NASDAQ-listed GameStop Corporation surged more than twenty-fold for no discernible economic reason. Many observers attributed this broadly covered rise to retail investors, organizing themselves in Reddit's WallStreetBets community. While Social Media-organized trading is not a new phenomenon, the magnitude of the resulting swings in the share price and surge in trading volume of GameStop is unprecedented. Using financial data, as well as an extensive dataset of Reddit posts, we provide empirical evidence for the relationship of Reddit posts and GameStop (retail) trading. While we find a significant and positive relationship between Reddit posts and various trading measures in the following 30-min window in accordance with an attention-based mechanism, our results offer no indication for the informativeness of Reddit posts and hint at a complex and probably nonlinear interdependence between Social-media and trading activity, preventing proof of a one-directional, causal effect.
The online version contains supplementary material available at 10.1007/s11408-022-00407-w.
2021年1月，在纳斯达克上市的游戏驿站公司（GameStop Corporation）股价毫无明显经济原因地飙升了二十多倍。许多观察家将这一受到广泛关注的股价上涨归因于在Reddit的“华尔街赌注”社区自行组织起来的散户投资者。虽然社交媒体组织的交易并非新现象，但游戏驿站股价由此产生的波动幅度和交易量激增却是前所未有的。利用金融数据以及Reddit帖子的广泛数据集，我们为Reddit帖子与游戏驿站（散户）交易之间的关系提供了实证证据。虽然根据基于注意力的机制，我们发现在接下来的30分钟窗口内，Reddit帖子与各种交易指标之间存在显著的正相关关系，但我们的结果并未表明Reddit帖子具有信息性，而是暗示了社交媒体与交易活动之间存在复杂且可能是非线性的相互依存关系，这使得无法证明存在单向的因果效应。
在线版本包含可在10.1007/s11408-022-00407-w获取的补充材料。
