Unité mixte de recherche 7235

The impact of stock spams on volatility

Taoufik Bouraoui

[en]This paper is dedicated to study the impact of stock spams through the analysis of the variations of volatility. We use the methodology of event studies on a sample of hundred ten firms. The results show positive and significant changes in volatility during 12 days of the event window; a widening of the variation [lowest price – highest price] was noticed following the consignment of messages by the spammers. The sending of stock spams affected the behaviour of investors, indicating thus that the spamming activity is a lucrative business.[/en]

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