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Internet gambling stock returns: empirical evidence from the UK

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  • Daniel Perez Liston

Abstract

Purpose - The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of the online gambling portfolio with both the market and socially responsible portfolios. In addition, this paper documents the effect of important UK gambling legislation on the betas and correlations of the online gambling portfolio. Design/methodology/approach - This study uses static and time-varying models (e.g. rolling regressions, multivariate GARCH models) to estimate betas and correlations for a portfolio of UK online gambling stocks. Findings - This study finds that beta for the online gambling portfolio is less than 1, indicative of defensiveness toward the market, a result that is consistent with prior literature for sin stocks. In addition, the conditional correlation between the market and online gambling portfolio is small when compared to the correlation of the market and socially responsible portfolios. Findings suggest that the adoption of the Gambling Act 2005 increases the conditional correlation between the market and online gambling portfolio and it also increases the conditional betas for the online gambling portfolio. Research limitations/implications - This paper serves as a starting point for future research on online gambling stocks. Going forward, studies can focus on the financial performance or accounting performance of online gambling stocks. Originality/value - This empirical investigation provides insight into the risk characteristics of publicly listed online gambling companies in the UK.

Suggested Citation

  • Daniel Perez Liston, 2017. "Internet gambling stock returns: empirical evidence from the UK," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 13(1), pages 36-49, February.
    • Handle: RePEc:eme:ijmfpp:ijmf-10-2015-0176
    DOI: 10.1108/IJMF-10-2015-0176
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    More about this item

    Keywords

    UK; Beta; Internet gambling stocks; G00; G11; G15; G19;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other

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