• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2015 Vol.6(1): 45-48 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2015.V6.440

Does 'Pump and Dump' Affect Stock Markets?

Taoufik Bouraoui
Abstract—This paper discusses the impact of stock spams on share prices while taking into account the evolution of volatility over time. We use the methodology of event studies on a sample of hundred ten firms of penny stocks over the period from February 2006 to October 2008. Our results show that sending stock spams has generated significant increase in returns on the 1st day followed by a significant decrease during the next days. Investors, having reacted favourably to requests of the spammer the 1st day, realize that these messages to which they responded positively are wrong information. Hence, they liquidate all their securities.

Index Terms—Return, stock spam, penny stock, event study.

Taoufik Bouraoui is with ESC Rennes School of Business, France (e-mail: taoufik.bouraoui@esc-rennes.com).

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Cite: Taoufik Bouraoui, "Does 'Pump and Dump' Affect Stock Markets?," International Journal of Trade, Economics and Finance vol.6, no.1, pp. 45-48, 2015.

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