The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches

Michael Ehrmann

European Central Bank (ECB); Bank of Canada

David-Jan Jansen

De Nederlandsche Bank

February 13, 2012

ECB Working Paper No. 1424

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute‐by‐minute trading data for fifteen international stock exchanges, we present three key findings. First, when the national team was playing, the number of trades dropped by 45%, while volumes were 55% lower. Second, market activity was influenced by match events. For instance, a goal caused an additional drop in trading activity by 5%. The magnitude of this reduction resembles what is observed during lunchtime, and as such might not be indicative for shifts in attention. However, our third finding is that the comovement between national and global stock market returns decreased by over 20% during World Cup matches, whereas no comparable decoupling can be found during lunchtime. We conclude that stock markets were following developments on the soccer pitch rather than in the trading pit, leading to a changed price formation process.

Number of Pages in PDF File: 37

Keywords: investor inattention, stock markets, trading volume, high‐frequency data, soccer

JEL Classification: G12, G14, G15

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Date posted: February 21, 2012  

Suggested Citation

Ehrmann , Michael and Jansen, David-Jan, The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches (February 13, 2012). ECB Working Paper No. 1424. Available at SSRN: https://ssrn.com/abstract=2004234

Contact Information

Michael Ehrmann (Contact Author)
European Central Bank (ECB) ( email )
Sonnemannstrasse 22
Frankfurt am Main, 60314
+49 69 1344/7327 (Phone)
+49 69 1344/6000 (Fax)

Bank of Canada ( email )
234 Wellington Street
Ontario, Ottawa K1A 0G9
David-Jan Jansen
De Nederlandsche Bank ( email )
P.O. Box 98
1000 AB Amsterdam
HOME PAGE: http://sites.google.com/site/djansenresearch

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