Game day effect on stock market: Evidence from four major sports leagues in US

Qingliang (Michael) Fan and Ting Wang

Journal of Behavioral and Experimental Finance, 2018, vol. 20, issue C, 9-18

Abstract: This paper studies the sports games’ impact on stock market in perspective of loss effect, rivalry games and media attention. The empirical results show that the loss of games are associated with decreasing of the subsequent daily franchises’ local stock market returns. Winning rivalry games is found to be associated with higher stock returns. The game day effect is mitigated for games with higher media exposure. Specifically, we find that the media attention will reduce the local stock returns in the case of winning games for NBA and NHL. At last, we examine the robustness of our finding by showing that the loss effect and win effect are the result of investor sentiment instead of the efficient market mechanism.

Keywords: Investor sentiment; Stock market; Sports rivalry; Media attention (search for similar items in EconPapers)
JEL-codes: G14 G41 Z23 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:20:y:2018:i:c:p:9-18

DOI: 10.1016/j.jbef.2018.03.005

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