Effects of Football on Stock Markets: Return-Volatility Relationship

25 Pages Posted: 16 Mar 2012

See all articles by Hakan Berument

Hakan Berument

Bilkent University - Department of Economics

Nildag Ceylan

Yildirim Beyazit University-Department of Banking and Finance

Date Written: March 13, 2012

Abstract

This paper assesses the effects of domestic football teams’ performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in international cups affect (i) stock market returns and (ii) the risk-return relationship. Evidence from Spain and the UK (countries considered football powerhouses) suggest that losses are associated with lower returns and higher risk aversion (agents become less risk loving) but the evidence from Chile and Turkey (where football is the most important sport but the teams are not as successful) reveals that wins are associated with higher returns and lower risk aversion (agents become more risk loving).

Keywords: Behavioral finance, psychology, football and stock market return, risk-return relationship

JEL Classification: A12, C22, G12, L83

Suggested Citation

Berument, Hakan and Ceylan, Nildag, Effects of Football on Stock Markets: Return-Volatility Relationship (March 13, 2012). Available at SSRN: https://ssrn.com/abstract=2020971 or http://dx.doi.org/10.2139/ssrn.2020971

Hakan Berument (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Nildag Ceylan

Yildirim Beyazit University-Department of Banking and Finance ( email )

Cicek St. No 1 Ulus
Sciences Yildirim Beyazit University
Ankara, 06500
Turkey

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