{"title":"Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup","authors":"Philip A. Drummond","doi":"10.1016/j.finmar.2022.100768","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"63 ","pages":"Article 100768"},"PeriodicalIF":2.1000,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418122000581","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.
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