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Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup

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  • Drummond, Philip A.

Abstract

This study examines the effects of intra-day anticipated distraction events on market quality. This is achieved by exploiting the quasi-random nature by which FIFA World Cup football matches overlap with the domestic trading hours of participating countries. Utilizing stock market data from 24 countries and a sample of 95 football matches, I find that match days exhibit pre-match increases to trading volume and contemporaneous declines to trading activity. Market volatility follows a similar trend. Realized spreads are increased during matches. Match time is associated with increased price efficiency, suggesting reduced noise trading.

Suggested Citation

  • Drummond, Philip A., 2023. "Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup," Journal of Financial Markets, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000581
    DOI: 10.1016/j.finmar.2022.100768
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    More about this item

    Keywords

    Distraction; Limited attention; Market quality;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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