Theses and Dissertations at Montana State University (MSU)
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Item Efficient markets and meme stocks: social media and volatility spillover in the GME short squeeze(Montana State University - Bozeman, College of Agriculture, 2022) Clark, Anthony Matthew; Chairperson, Graduate Committee: Joseph AtwoodThis paper examines two issues central to the recent retail finance phenomena of 'meme Stocks', using evidence from the GameStop short squeeze of early 2021. The first is the degree to which web traffic predicts abnormal returns of a stock when that stock receives a high degree of public interest. The second is the degree to which semi-exogenous assignments of popularity to a stock result in increased volatility in similar stocks, i.e., if meme stock crazes result in volatility spillovers. Using a Bayesian, Time-Varying Parameter approach, this paper estimates both the relationship between relevant web traffic (r/wallstreetbets, Twitter, Google Search) and the performance of GameStop stock, as well as volatility spillovers from GME to untargeted stocks. We find mixed evidence of a Granger-causal relationship between web traffic and GME returns. In addition, we find evidence in support of the existence of large, transient volatility spillovers.Item Investing in a president(Montana State University - Bozeman, College of Agriculture, 2021) AlSaad, Faisal Khalid; Chairperson, Graduate Committee: Joseph AtwoodThis paper examined the 2012 presidential election between Barack Obama and Mitt Romney on the stock market. Presidential elections pose a political uncertainty that can be hedged using the stock market. The paper constructs three portfolios using three different weighting methods: equally weighted, market capital, and individuals' donations. This study uses Fama and French 5-Factor model to estimate the annual return for Obama's and Romney's portfolios. The results show that Obama's portfolio generates an annual expected return of 11.8%, 35.6%, and 39.5% for equally weighted, market capital and donation, respectively. The results also show that Romney's portfolio generates annual expected returns of 5%, 26.2%, and - 0.8% for equally weighted, market capital, and donation, respectively. Investors can adjust their investment portfolio position by observing the candidates' probability of winning the election. This paper establishes a stock market pattern before presidential elections that investors can capitalize on to ensure against the effects of political uncertainty upon the value of their investment portfolio.