Social Interactions in Short Squeeze Scenarios

This paper contributes to ongoing discussions about the short squeeze phenomenonby introducing a vector autoregression model framework covering investor intent,sentiment, and stock performance dimensions to examine causation in the GameStopsaga. Data from December 2020 to September 2021 were used including social interactionsfrom two subreddits and stock information from GME, AMC, BB, and NOK.The /r/GME community’s strong appeal to hold onto investments significantly reducesGME stock volume. Furthermore, increased sentiment on /r/wallstreetbetsis followed by an increase in trading volume across several stocks. However, theImpulse Response Functions showed that these effects appeared only after certaindelays