On the "mementum" of Meme Stocks

TL;DR

This paper investigates the unique dynamics of meme stocks, revealing distinct patterns in price, volume, and social media activity, and introduces a regime-switching model to characterize their 'mementum' for better investor and authority decision-making.

Contribution

It provides the first empirical analysis of meme stock dynamics using a regime-switching cointegration model to identify their distinctive 'mementum' behavior.

Findings

Meme stocks show unique stylized facts in price, volume, and social media activity.

A regime-switching cointegration model effectively captures meme stock 'mementum'.

Meme stocks exhibit different persistence patterns compared to other high-volume stocks.

Abstract

The meme stock phenomenon is yet to be explored. In this note, we provide evidence that these stocks display common stylized facts on the dynamics of price, trading volume, and social media activity. Using a regime-switching cointegration model, we identify the meme stock "mementum" which exhibits a different characterization with respect to other stocks with high volumes of activity (persistent and not) on social media. Understanding these properties helps the investors and market authorities in their decision.