Is There a Correlation Between World Cups and S&P 500 Performance?
5 Pages Posted: 15 Jun 2010 Last revised: 21 Jul 2010
Date Written: June 14, 2010
Coinciding with the start of the 2010 edition of the FIFA World Cup it is fitting to explore if historically there has been any significant correlation between this event and stock market performance. Although it has been previously reported that there is a strong correlation between results of individual football matches and corresponding, short-term local stock market trends, there has only been one unpublished study examining the potential relationship between periodic, multi-week, multi-national sporting events and returns of a broad stock market index. Building on the work of Kaplansky and Levy (2008), by using data from 1950 to 2006, it was shown empirically that the S&P 500 Composite Index has an expected return of -2% over the period of a FIFA World Cup tournament. This relationship could be classified as a subset of the calendar effect class of behavioral finance anomalies.
----- UPDATE: The author has been informed that the working paper by Kaplansky and Levy was recently published in the Journal of Financial and Quantitative Analysis, vol. 45.
Keywords: stock market, trading strategies, behavioral finance, calendar effect, investor sentiment
JEL Classification: G14, G17
Suggested Citation: Suggested Citation