Document Type
Article
Source of Publication
Research in International Business and Finance
Publication Date
6-1-2021
Abstract
We examine the comovements between stock prices of different heavily shorted companies during a short-squeeze incident. Using the recent GameStop trading frenzy as a case study, we employ wavelet coherence analyses to determine its link with other frequently shorted stocks. We demonstrate a robust positive association between GameStop prices and the performance of high short interest indices. The bubble behavior driven by retail investor herding transmits between different stocks, even from unrelated sectors. Consequently, a single short-squeeze incident may build up into a potentially broader systemic risk, casting doubt on market integrity and stability.
DOI Link
ISSN
Publisher
Elsevier
Volume
58
Disciplines
Business
Keywords
GameStop, Wavelet coherence, Comovements, Short squeeze, Retail investors, Robinhood app, r/wallstreetbets, Investor herding, Social media, High short interest
Scopus ID
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Recommended Citation
Umar, Zaghum; Yousaf, Imran; and Zaremba, Adam, "Comovements between Heavily Shorted Stocks during a Market Squeeze: Lessons from the GameStop Trading Frenzy" (2021). All Works. 4295.
https://zuscholars.zu.ac.ae/works/4295
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Hybrid: This publication is openly available in a subscription-based journal/series