Black Swan Global Market: Analysis of the Effect of the Covid-19 Death Rate on the Volatility of European Football Club Stock Prices (Case Study of Juventus F.C., Manchester United, Ajax Amsterdam and Borussia Dortmund)

Franco Limba, Jacobus Rijoly and Margreath Tarangi

MPRA Paper from University Library of Munich, Germany

Abstract: The Covid-19 pandemic that hit the world also directly affected financial markets and global stock markets; this condition in economic terminology is known as the Black Swann Global Market Effect. Black Swan Global Market Effect is also experienced by sports industries in the financial industry, the football industry. The purpose of this paper is to see whether there is an influence between the Covid-19 pandemic conditions on the share value of several major European football clubs, namely Ajax Amsterdam, Borussia Dortmund, Juventus F.C., and Manchester United, as a result of the Black Swan Global Market Effect. The data used in this paper is time-series data from March 2020 to August 2020. Meanwhile, to answer the black swan effect phenomenon, the Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) method is used. The results showed that stocks that were the object of research (Ajax, Borussia Dortmund, Juventus, and Manchester United) showed a large response to bad News (an increase in deaths due to covid-19).

Keywords: Black Swan Global Market; Covid-19 Pandemic; TGARCH Models (search for similar items in EconPapers)
JEL-codes: E52 F37 G14 G17 I12 (search for similar items in EconPapers)
Date: 2020-07
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Published in JURNAL ILMIAH MANAJEMEN BISNIS DAN INOVASI UNIVERSITAS SAM RATULANGI 3.7(2020): pp. 729-742

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