Do Stock Markets React to Soccer Games? A Meta-Regression Analysis

38 Pages Posted: 20 Apr 2017  

Jerome Geyer-Klingeberg

University of Augsburg - Institute of Materials Resource Management

Markus Hang

University of Augsburg - Institute of Materials Resource Management

Matthias Walter

University of Augsburg

Andreas Rathgeber

University of Augsburg - Institute of Materials Resource Management

Date Written: April 1, 2017

Abstract

Existing research outcomes on the impact of soccer games on stock market returns are quite mixed. This study addresses the conflicting findings by means of a meta-regression analysis of 936 return estimates reported in 36 primary studies. Our results indicate that after lost matches, negative return reactions are systematically overrepresented causing a biased picture of the impact of soccer games on stock markets. After correcting for the detected publication bias, the effect for national teams becomes insignificant and accounts for only −5 basis points. In the case of individual clubs, the corrected average stock market reaction after losses is −39 basis points and statistically significant. In contrast to lost matches, we cannot identify publication bias for return estimates referring to wins and only for individual clubs exists weak support for a positive mean effect. In summary, our findings provide evidence against the hypothesis that stock markets are driven by sports sentiment, whereas the most probably fundamentally driven effect for clubs remains.

Keywords: Sports Sentiment, Soccer, Stock Returns, Publication Bias, Meta-Analysis

JEL Classification: G83, G14, L83

Suggested Citation

Geyer-Klingeberg, Jerome and Hang, Markus and Walter, Matthias and Rathgeber, Andreas, Do Stock Markets React to Soccer Games? A Meta-Regression Analysis (April 1, 2017). Available at SSRN: https://ssrn.com/abstract=2800979 or http://dx.doi.org/10.2139/ssrn.2800979

Jerome Geyer-Klingeberg (Contact Author)

University of Augsburg - Institute of Materials Resource Management ( email )

University of Augsburg
Universitätsstr. 2
Augsburg, 86159
Germany
(+49) 821 598-3046 (Phone)

Markus Hang

University of Augsburg - Institute of Materials Resource Management ( email )

Augsburg, 86159
Germany

Matthias Walter

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

Andreas Rathgeber

University of Augsburg - Institute of Materials Resource Management ( email )

Augsburg, 86159
Germany

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