Football Sentiment and Stock Market Returns: Evidence From a Frontier Market

Abstract

This study examines the effect of investor sentiment on the Vietnamese stock market. Using the results of international football matches as exogenous shocks on investor sentiment and information on two major stock exchanges, we document a link between investor sentiment and stock market returns. In particular, we find a market decline on the subsequent trading days after game losses. Further, the effect of investor sentiment is more potent for small-cap stocks, during the period when the affection and attention of local fans are stronger, and when more important competitions are being played.

Keywords: Football Sentiment, Stock Market Returns