The Effect of Stock Spam on Financial Markets
Presumably you have noticed one specific type of spam messages in your inbox recently: spam messages that advertise stocks. Together with Rainer Böhme from the University of Dresden I examined this phenomenon a bit more closely and we could show that spam has a statistically significant influence on stock quotes. The paper was accepted at the Fifth Workshop on the Economics of Information Security (WEIS 2006) and you can find a working draft at http://ssrn.com/abstract=897431
Abstract:
Spam messages are ubiquitous and extensive interdisciplinary research has tried to come up with effective countermeasures. However, little is known about the response to unsolicited e-mail, partly because spammers do not disclose sales figures. This paper correlates incoming spam messages that promote the investment in particular equity securities with financial market data. We use multivariate regression models to measure the impact of stock spam on traded volume and conduct an event study to find effects on market valuation. In both cases we have found evidence for significant reactions to spam campaigns in the short run. Theoretical and practical implications of the findings are addressed.
Abstract:
Spam messages are ubiquitous and extensive interdisciplinary research has tried to come up with effective countermeasures. However, little is known about the response to unsolicited e-mail, partly because spammers do not disclose sales figures. This paper correlates incoming spam messages that promote the investment in particular equity securities with financial market data. We use multivariate regression models to measure the impact of stock spam on traded volume and conduct an event study to find effects on market valuation. In both cases we have found evidence for significant reactions to spam campaigns in the short run. Theoretical and practical implications of the findings are addressed.
@InProceedings{Boehme:2006:ESS,
author = {Rainer B{\"o}hme and Thorsten Holz},
title = {The Effect of Stock Spam on Financial Markets},
year = {2006},
month = {June},
organization = {University of Cambridge, England},
booktitle = {Proceeedings of the Fifth Workshop on the
Economics of Information Security (WEIS 2006)},
}
".
