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

Philip A. Drummond

Journal of Financial Markets, 2023, vol. 63, issue C

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.

Keywords: Distraction; Limited attention; Market quality (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000581

DOI: 10.1016/j.finmar.2022.100768

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