Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements

Konstantinos Gkillas, Rangan Gupta, Chi Keung Lau and Muhammad Tahir Suleman

Journal of Applied Statistics, 2020, vol. 47, issue 6, 1109-1127

Abstract: We examine the impact of the Indian cricket team's performance in one-day international cricket matches on return, realized volatility and jumps of the Indian stock market, based on intraday data covering the period of 30th October, 2006 to 31st March, 2017. Using a nonparametric causality-in-quantiles test, we were able to detect evidence of predictability from wins or losses for primarily volatility and jumps, especially over the lower-quantiles of the conditional distributions, with losses having stronger predictability than wins. However, the impact on the stock return is weak and restricted towards the upper end of the conditional distribution.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/02664763.2019.1663157 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:47:y:2020:i:6:p:1109-1127

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/CJAS20

DOI: 10.1080/02664763.2019.1663157

Access Statistics for this article

Journal of Applied Statistics is currently edited by Robert Aykroyd

More articles in Journal of Applied Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().