The Effect of Stock Spam on Financial Markets

24 Pages Posted: 21 Apr 2006

See all articles by Rainer Böhme

Rainer Böhme

University of Innsbruck; University of Münster - Department of Information Systems; Massachusetts Institute of Technology (MIT) - MIT Media Laboratory; ICSI Berkeley; TU Dresden

Thorsten Holz

University of Mannheim - Laboratory for Dependable Distributed Systems, University of Mannheim

Date Written: April 2006

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.

Keywords: Stock Spam, Event Study, OTC, Unsolicited Bulk E-Mail, Economics of Information Security

JEL Classification: G14, D84, M30, C88

Suggested Citation

Böhme, Rainer and Holz, Thorsten, The Effect of Stock Spam on Financial Markets (April 2006). Available at SSRN: https://ssrn.com/abstract=897431 or http://dx.doi.org/10.2139/ssrn.897431

Rainer Böhme (Contact Author)

University of Innsbruck ( email )

Technikerstraße 21A
Innsbruck, Innsbruck 6020
Austria

HOME PAGE: http://informationsecurity.uibk.ac.at/people/rainer-boehme/

University of Münster - Department of Information Systems ( email )

Leonardo-Campus 3
Muenster, NRW D-48143
Germany

HOME PAGE: http://www.wi.uni-muenster.de/security/

Massachusetts Institute of Technology (MIT) - MIT Media Laboratory ( email )

20 Ames St.
Cambridge, MA 02139-4307
United States

ICSI Berkeley ( email )

1947 Center Street, Ste. 600
Berkeley, CA 94704
United States

TU Dresden ( email )

Dresden, 01062
Germany

Thorsten Holz

University of Mannheim - Laboratory for Dependable Distributed Systems, University of Mannheim ( email )

Germany

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