Investor sentiment and market reaction: evidence on 2010 FIFA World Cup
AbstractThe purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we analyse the 2010 FIFA World Cup of South Africa. Globally, the study provides no evidence of a direct relationship between games results and the subsequent market reaction, not documenting a change in investor mood caused by soccer games outcomes. This paper contributes to the recent literature on the asset pricing impact of behaviour biases. The global results are more in line with standard finance than on behaviour finance, suggesting that stock prices are not influenced by economically-neutral events that can affect the investor sentiment, and, consequently, the stock prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Economics and Accounting.
Volume (Year): 3 (2012)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.inderscience.com/browse/index.php?journalID==357
investor sentiment; behavioural finance; standard finance; stock returns; volume trading; 2010 FIFA World Cup; market reaction; football matches; match results; soccer matches; asset pricing impact; stock prices.;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives,
American Economic Association, vol. 21(2), pages 129-152, Spring.
- J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September.
- Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991.
" Investor Sentiment and the Closed-End Fund Puzzle,"
Journal of Finance,
American Finance Association, vol. 46(1), pages 75-109, March.
- Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-45, December.
- Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk,"
Econometric Society, vol. 47(2), pages 263-91, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Gray, Philip K & Gray, Stephen F, 1997. " Testing Market Efficiency: Evidence from the NFL Sports Betting Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1725-37, September.
- Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998.
"Losing Sleep at the Market: The Daylight-Savings Anomaly,"
dp98-04, Department of Economics, Simon Fraser University.
- Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
- Jedrzej Bialkowski & Ahmad Etebari & Tomasz Piotr Wisniewski, 2010. "Piety and Profits: Stock Market Anomaly during the Muslim Holy Month," Working Papers in Economics 10/52, University of Canterbury, Department of Economics and Finance.
- David Hirshleifer & TYLER G. SHUMWAY, 2004.
"Good Day Sunshine: Stock Returns and the Weather,"
- Renneboog, L.D.R. & Vanbrabant, P., 2000. "Share Price Reactions to Sporty Performances of Soccer Clubs listed on the London Stock Exchange and the AIM," Discussion Paper 2000-19, Tilburg University, Center for Economic Research.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross-Section of Stock Returns,"
Journal of Finance,
American Finance Association, vol. 61(4), pages 1645-1680, 08.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- French, Kenneth R & Poterba, James M, 1991.
"Investor Diversification and International Equity Markets,"
American Economic Review,
American Economic Association, vol. 81(2), pages 222-26, May.
- Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance,
Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover dp-407, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Hirshleifer, David, 2001.
"Investor Psychology and Asset Pricing,"
5300, University Library of Munich, Germany.
- Glenn Boyle & Brett Walter, 2003. "Reflected glory and failure: international sporting success and the stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 225-235.
- J. K. Ashton & B. Gerrard & R. Hudson, 2003. "Economic impact of national sporting success: evidence from the London stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 783-785.
- Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
- Anna Krivelyova & Cesare Robotti, 2003. "Playing the field: Geomagnetic storms and international stock markets," Working Paper 2003-5, Federal Reserve Bank of Atlanta.
- Thomas Lux, 2008. "Sentiment Dynamics and Stock Returns: The Case of the German Stock Market," Kiel Working Papers 1470, Kiel Institute for the World Economy.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Graham Langley).
If references are entirely missing, you can add them using this form.