新冠肺炎疫情对足球股票市场收益及不确定性的影响

IF 0.9 4区经济学 Q4 HOSPITALITY, LEISURE, SPORT & TOURISM

International Journal of Sport Finance Pub Date : 2022-08-01 DOI:10.32731/ijsf/173.082022.02

Fatih Bedir, Gürkan Bozma, M. Turan, Orcan Mizrak

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引用次数: 2

摘要

取消大规模集会是为遏制新冠肺炎传播而实施的最早措施之一。受这种情况影响的部门之一是体育组织。该研究旨在使用均值和方差估计分析新冠肺炎对足球俱乐部股票回报率和波动性的影响。根据这一目标，斯托克足球指数被用于估计足球俱乐部的股票，而虚拟变量被用于估计新冠肺炎的影响。根据分析，发现新冠肺炎对足球指数收入产生了负面且具有统计意义的影响。另一方面，二阶矩分析EGARCH-X模型的结果表明，由于新冠肺炎，斯托克足球指数条件方差（波动性）增加。

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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Effects of COVID-19 on Football Stock Market’s Return and Uncertainty

The cancellation of mass gatherings was one of the earliest measures implemented to combat the spread of COVID-19. One of the sectors affected by this situation was sports organizations. The study aimed to analyze the impact of COVID-19 on the returns and volatility of football club stocks using mean and variance estimates. In line with this aim, the Stoxx Football Index was used to estimate the stocks of football clubs, and a dummy variable was used to estimate the effect of COVID-19. According to the analyses, it was found that COVID-19 had a negative and statistically significant impact on football index revenue. On the other hand, the results of the second moment analysis, the EGARCH-X model, suggested an increase in the Stoxx Football Index conditional variance (volatility) due to COVID-19.

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来源期刊

International Journal of Sport Finance HOSPITALITY, LEISURE, SPORT & TOURISM-

CiteScore

1.50

自引率

20.00%

发文量