By means of the wavelet coherence approach, we study the relationship between the GameStop returns and the sentiment driven pricing, as described by the following indicators: twitter publication count, news publication count excluding twitter, put–call ratio, and short-sale volume. The documented impacts of media-driven sentiment suggest that regulators and policymakers should continuously monitor the investing groups on social media platforms as they can create inefficiency in the market. The put–call ratio strongly and positively affects the GameStop returns prior to the peak of the GameStop saga, being one of the drivers of the January skyrocketing prices. Our results also reveal a positive relationship between the GameStop returns and the short sales volume during the GameStop episode, confirming the short squeeze phenomenon. We highlight the importance for the regulators to consider limiting some predatory short-selling practices, namely “naked” short selling, as excessive short selling may move the market towards inefficiency.

通过小波相关性方法，我们研究了GameStop收益与情绪驱动的定价之间的关系，如以下指标所述：Twitter发行数量，不包括Twitter的新闻发行数量，看跌比率和卖空量。媒体驱动的情绪的有据可查的影响表明，监管机构和政策制定者应持续监控社交媒体平台上的投资群体，因为它们可能造成市场效率低下。认沽期权比率在GameStop传奇达到顶峰之前强烈而积极地影响了GameStop的回报，这是一月份暴涨价格的驱动因素之一。我们的结果还显示，在GameStop情节期间，GameStop的回报与卖空量之间存在正相关关系，这证实了卖空现象。