Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-03-01 DOI:10.1016/j.finmar.2022.100768

Philip A. Drummond

引用次数: 2

Abstract

This study examines the effects of intra-day anticipated distraction events on market quality. This is achieved by exploiting the quasi-random nature by which FIFA World Cup football matches overlap with the domestic trading hours of participating countries. Utilizing stock market data from 24 countries and a sample of 95 football matches, I find that match days exhibit pre-match increases to trading volume and contemporaneous declines to trading activity. Market volatility follows a similar trend. Realized spreads are increased during matches. Match time is associated with increased price efficiency, suggesting reduced noise trading.

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围绕预期干扰事件的市场质量:来自FIFA世界杯的证据

本研究探讨日内预期分散事件对市场品质的影响。这是通过利用世界杯足球赛与参赛国国内交易时间重叠的准随机性来实现的。利用24个国家的股票市场数据和95场足球比赛的样本，我发现比赛日表现出赛前交易量的增加和同期交易活动的下降。市场波动也遵循着类似的趋势。在比赛期间实现的价差会增加。比赛时间与价格效率的提高有关，这表明噪音交易减少了。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.