#Vw stock squeeze series
The author employs the asymmetry Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models (the Exponential GARCH (EGARCH) and the Threshold GARCH (TGARCH)) and provides evidence that an exceptional time series feature emerged during the examined period: the antileverage effect. The main objective of the paper is to provide new quantitative evidence that stock returns are abnormal when short squeeze conditions emerge. The author uses the popular Runs test to show that the GME returns were not randomly distributed, which is an indication of a violation of the Efficient Market Hypothesis (EMH). Using intraday data for the period –, the author provides empirical evidence that the GME stock price exhibited abnormal behavior. This study examines the Gamestop (GME) short squeeze in early 2021. The outcome of this analysis is useful for scholars and regulators because coordination among investors is easier than ever in the internet era and such events may happen again in the future even under normal conditions (not during a short squeeze) this could lead to market instability. The combination of the short squeeze and the investors’ coordination may be the appropriate conditions for the anti-leverage effect to emerge, which may be a new way to econometrically show violation of the EMH. In contrast to what the time series normally show, volatility increased when the GME prices increase.
Moreover, we employ the asymmetry EGARCH(1,1,1) model and we provide evidence that an exceptional time series feature emerged during the examined period: the anti-leverage effect. The Runs-test confirms that the GME returns were not randomly distributed, which is an indication of a violation of the Efficient Market Hypothesis (EMH). Using intraday data from the period -, we show that the GME stock price exhibited abnormal behavior. This study examines the GME short squeeze in early 2021.
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