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Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements

Author

Listed:
  • Konstantinos Gkillas

    () (Department of Business Administration , University of Patras, University Campus, Rio, Greece)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Chi Keung Marco Lau

    () (Huddersfield Business School, University of Huddersfield, Huddersfield, United Kingdom)

  • Tahir Suleman

    () (School of Economics and Finance, Victoria University of Wellington, New Zealand and School of Business, Wellington Institute of Technology, New Zealand)

Abstract

This study examines the impact of the Indian cricket team's performance in one day international (ODI) cricket matches on return, realized volatility and jumps of the Indian stock market, based on intraday data covering the period of 30th October, 2006 to 31st March, 2017. Standard linear Granger causality test fail to detect any evidence of wins or losses causing stock market movements. But given strong evidence of nonlinearity between our various stock market metrics and results of ODI matches, we next use a nonparametric causality-in-quantiles test, given the misspecification of the linear model. Using this data-driven robust approach, we were able to detect evidence of predictability from wins or losses for primarily volatility and jumps, especially over the lower-quantiles of the conditional distributions, with losses having stronger predictability than wins. However, the impact on stock return is weak and restricted towards the upper end of the conditional distribution. A closer look at our results tend to suggest that, when we control for misspecification, India’s performances in ODI matches mainly affects large non-diversifiable risks (i.e., large jumps), and in the process drives market (systematic) risk (or uncertainty, which in turn has important implications for investors.

Suggested Citation

  • Konstantinos Gkillas & Rangan Gupta & Chi Keung Marco Lau & Tahir Suleman, 2018. "Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements," Working Papers 201871, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201871
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Cricket; India; Stock market movements; Investor psychology;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G1 - Financial Economics - - General Financial Markets

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