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

37 Pages Posted: 9 Mar 2012

See all articles by Michael Ehrmann

Michael Ehrmann

European Central Bank (ECB); Bank of Canada

David-Jan Jansen

De Nederlandsche Bank

Multiple version iconThere are 3 versions of this paper

Date Written: February 23, 2012

Abstract

At the 2010 FIFA World Cup, many soccer matches were played during stock market trading hours, generating a natural experiment to analyze fluctuations in investor attention. Using data for fifteen countries, we find that market activity declined substantially during matches. Given that similar declines in activity are observed during lunchtime, these findings need not indicate shifts in attention. However, in contrast to lunchtime, the co-movement between national and global stock market returns decreased by over 20% during World Cup matches, a change in price formation that seems due to investors focusing on the soccer pitch rather than the trading pit.

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

JEL Classification: G12, G14, G15

Suggested Citation

Ehrmann, Michael and Jansen, David-Jan, The Pitch Rather than the Pit: Investor Inattention During FIFA World Cup Matches (February 23, 2012). Available at SSRN: https://ssrn.com/abstract=2018262 or http://dx.doi.org/10.2139/ssrn.2018262

Michael Ehrmann (Contact Author)

European Central Bank (ECB) ( email )

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David-Jan Jansen

De Nederlandsche Bank ( email )

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