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

35 Pages Posted: 20 Apr 2017 Last revised: 8 Feb 2018

Jerome Geyer-Klingeberg

University of Augsburg - Institute of Materials Resource Management

Markus Hang

University of Augsburg

Matthias Walter

University of Augsburg

Andreas Rathgeber

University of Augsburg - Institute of Materials Resource Management

Date Written: October 1, 2017

Abstract

This study applies meta-regression analysis to aggregate a sample of 1,126 empirical estimates of the stock market reaction to soccer matches collected from 37 primary studies. Our results indicate that winning a match is not associated with significant return effects for both national teams and individual clubs. In the case of lost matches, we find strong evidence for publication bias, i.e. negative returns are systematically overrepresented causing a biased picture of the true soccer match effect. After correcting for this bias, the mean return after losses by national teams becomes statistically insignificant and accounts for only -5 basis points. In the case of individual clubs, the corrected impact of a loss is a significant -39 basis points effect. In a further analysis, we identify various aspects of study design like regional differences, time period under examination, and the design of empirical analysis to be responsible for the wide variation in previous study outcomes. Overall, our findings provide evidence against the hypothesis that stock markets are driven by sports sentiment in the case of national teams. Due to the existence of strong asymmetry in the returns after wins and losses of individual clubs, behavioural explanations cannot be fully ruled out.

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 (October 1, 2017). Applied Economics, Vol. 50, Issue 19, pp. 2171-2189. 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 ( email )

Universitätsstr. 2
Werner-von-Siemens-Straße 6
Augsburg, 86159
Germany
0049 821 5983042 (Phone)

HOME PAGE: http://www.mrm.uni-augsburg.de/gruppen/rathgeber/Team/markus_hang/

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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