Japanese and Korean Stock Market Reactions to the 2002 World Cup

Abstract

This study examines the effects of the 2002 World Cup on stock markets of two host countries (Japan and South Korea). Stock returns and their volatility are analyzed using the GARCH (1, 1) model with game dummy variables. Although no significant impacts are found on the overall stock markets in South Korea and Japan, some industry portfolios are sensitive to the World Cup event. The World Cup kick-off game effect and the individual game effect are also detected. Further, we find that the individual game effect has a stronger influence on emerging financial markets than developed financial markets.