SOCIAL MEDIA SENTIMENT AND STOCK PRICE VOLATILITY: AN ANALYSIS OF "MEME STOCKS" DYNAMICS
Indonesia 
Brazil Brazil 
Article Sidebar
-
Investor Attention, Meme Stocks, Reddit Sentiment
Abstract
Social media platforms have reshaped retail investing by accelerating the circulation of sentiment and speculative narratives surrounding meme stocks. Understanding whether these signals anticipate volatility remains important for financial research and market risk assessment. This study examines the relationship between Reddit sentiment, online attention, and subsequent price volatility in GameStop, AMC Entertainment, and BlackBerry. A quantitative longitudinal framework was demonstrated using 2,988 simulated stock-day observations spanning 2021–2024. Positive and negative sentiment shares and discussion volume were linked to five-session realized volatility through panel regressions incorporating stock effects and conventional market controls. Predictive performance was evaluated on a chronological 2024 holdout sample. In the simulated data, discussion intensity correlated positively with future volatility (r = 0.383), while sentiment coefficients varied across specifications. Adding sentiment measures marginally improved in-sample explanatory fit but increased holdout forecasting error (RMSE: 4.392 versus 4.368 for the benchmark). These results illustrate the distinction between statistical association and reliable prediction, rather than establish empirical effects in financial markets. The proposed framework contributes a replicable approach for evaluating online sentiment alongside established risk indicators. Future studies should examine cross-platform differences and regulatory changes. Verification using authentic platform and trading records is essential before drawing substantive conclusions about meme-stock dynamics.
Full text article
References
Agyei, S. K. (2022). Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis. Plos One, 17(7). https://doi.org/10.1371/journal.pone.0271088
Bhatia, S. (2022). The Influence of Board Factors and Gender Diversity on the ESG Disclosure Score: A Study on Indian Companies. Global Business Review, 23(6), 1544–1557. https://doi.org/10.1177/09721509221132067
Boretti, A. (2023). The perspective of hydrogen direct reduction of iron. Journal of Cleaner Production, 429(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.jclepro.2023.139585
Chen, C. (2024). The impact of executives’ green experience on environmental, social, and governance (ESG) performance: Evidence from China. Journal of Environmental Management, 366(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.jenvman.2024.121819
Chen, Y. (2024). Role of investor attention and executive green awareness on environmental information disclosure of Chinese high-tech listed companies. Journal of Environmental Management, 365(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.jenvman.2024.121552
Chouaibi, Y. (2022). The effect of corporate social responsibility practices on real earnings management: Evidence from a European ESG data. International Journal of Disclosure and Governance, 19(1), 11–30. https://doi.org/10.1057/s41310-021-00125-1
Cookson, J. A. (2024). The social signal. Journal of Financial Economics, 158(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.jfineco.2024.103870
Corbet, S. (2022). The reputational contagion effects of ransomware attacks. Finance Research Letters, 47(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.frl.2022.102715
Ding, Q. (2022). Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change. International Review of Financial Analysis, 83(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.irfa.2022.102222
Fahmy, H. (2022). The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus. Energy Economics, 106(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.eneco.2021.105738
Hajek, P. (2023). Speech emotion recognition and text sentiment analysis for financial distress prediction. Neural Computing and Applications, 35(29), 21463–21477. https://doi.org/10.1007/s00521-023-08470-8
Hu, X. (2023). The green fog: Environmental rating disagreement and corporate greenwashing. Pacific Basin Finance Journal, 78(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.pacfin.2023.101952
Jucá, M. N. (2024). The impact of ESG controversies on the financial performance of firms: An analysis of industry and country clusters. Borsa Istanbul Review, 24(6), 1305–1315. https://doi.org/10.1016/j.bir.2024.08.001
Kapturkiewicz, A. (2022). Varieties of Entrepreneurial Ecosystems: A comparative study of Tokyo and Bangalore. Research Policy, 51(9). https://doi.org/10.1016/j.respol.2021.104377
Liu, H. (2023). The impact of managerial myopia on environmental, social and governance (ESG) engagement: Evidence from Chinese firms. Energy Economics, 122(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.eneco.2023.106705
Liu, J. (2023). Volatility spillover and hedging strategies between the European carbon emissions and energy markets. Energy Strategy Reviews, 46(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.esr.2023.101058
López-Morales, E. (2023). State-led gentrification in three Latin American cities. Journal of Urban Affairs, 45(8), 1397–1417. https://doi.org/10.1080/07352166.2021.1939040
Lyócsa, Š. (2022). Russia’s ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. Finance Research Letters, 48(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.frl.2022.102995
Mugerman, Y. (2022). The exclamation mark of Cain: Risk salience and mutual fund flows. Journal of Banking and Finance, 134(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.jbankfin.2021.106332
Pham, L. (2023). Time-varying asymmetric spillovers among cryptocurrency, green and fossil-fuel investments. Global Finance Journal, 58(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.gfj.2023.100891
Pham, T. N. (2022). The Effects of ESG Combined Score on Business Performance of Enterprises in the Transportation Industry. Sustainability Switzerland, 14(14). https://doi.org/10.3390/su14148354
Pinto-Gutiérrez, C. (2022). The NFT Hype: What Draws Attention to Non-Fungible Tokens? Mathematics, 10(3). https://doi.org/10.3390/math10030335
Reinwald, M. (2023). Shine Bright Like a Diamond: When Signaling Creates Glass Cliffs for Female Executives. Journal of Management, 49(3), 1005–1036. https://doi.org/10.1177/01492063211067518
Sengupta, P. P. (2024). The future of valvular heart disease assessment and therapy. Lancet, 403(Query date: 2026-10-20 20:28:16), 1590–1602. https://doi.org/10.1016/S0140-6736(23)02754-X
Si, Y. (2022). State-of-the-art review and future trends of development of tidal current energy converters in China. Renewable and Sustainable Energy Reviews, 167(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.rser.2022.112720
Tang, H. (2022). The Effect of ESG Performance on Corporate Innovation in China: The Mediating Role of Financial Constraints and Agency Cost. Sustainability Switzerland, 14(7). https://doi.org/10.3390/su14073769
Wang, H. (2024). The impact of ESG responsibility performance on corporate resilience. International Review of Economics and Finance, 93(Query date: 2026-10-20 20:28:16), 1115–1129. https://doi.org/10.1016/j.iref.2024.05.033
Wang, S. (2022). StrawFeed model: An integrated model of straw feedstock supply chain for bioenergy in China. Resources Conservation and Recycling, 185(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.resconrec.2022.106439
Wang, Y. (2022). The Effects of Central Bank Digital Currencies News on Financial Markets. Technological Forecasting and Social Change, 180(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.techfore.2022.121715
Wang, Y. (2023). Return spillover analysis across central bank digital currency attention and cryptocurrency markets. Research in International Business and Finance, 64(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.ribaf.2023.101896
Wu, L. (2024). The effect of ESG performance on corporate green innovation. Business Process Management Journal, 31(8), 24–48. https://doi.org/10.1108/BPMJ-04-2023-0237
Wu, W. (2024). The influence of financial flexibility on firm performance: The moderating effects of investment efficiency and investment scale. Journal of Applied Accounting Research, 25(5), 1183–1202. https://doi.org/10.1108/JAAR-07-2023-0192
Zhang, W. (2024). The effect of carbon emission trading on enterprises’ sustainable development performance: A quasi-natural experiment based on carbon emission trading pilot in China. Energy Policy, 185(Query date: 2026-10-20 20:28:16). https://doi.org/10.1016/j.enpol.2023.113960
