Is there an Olympic gold medal rush in the stock market?

Wang, J.Y. ORCID: 0000-0001-6155-1664 and Markellos, R.N., 2018. Is there an Olympic gold medal rush in the stock market? The European Journal of Finance. ISSN 1351-847X

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Investor sentiment and attention are often linked to the same non-economic events making it difficult to understand why and how asset prices are affected. We disentangle these two potential drivers of investment behaviour by analysing a new dataset of medals for major participating countries and sponsor firms over four Summer Olympic Games. Existing studies focus only on investigating the effect of sports events and sentiment on stock market returns. We consider for the first time also the importance of investor attention and the effect on activity at the market and firm level. Our results show that trading volume and volatility is substantially reduced following Olympic success although returns appear to be largely unaffected. In the U.S., trading volume (realised volatility) during Olympics is over 24% (61%) lower than comparable periods of the year when Games do not take place. Each gold medal leads to a further decrease in volume of nearly 3% on average over the trading day following the award. These findings are in line with theories and evidence related to investor attention but cannot be easily explained on the basis of sentiment. Analysis of data from online search volumes and from surveys measuring investor sentiment, also suggest that the market impact of the Olympics is linked to changes in investor attention.

Item Type: Journal article
Publication Title: The European Journal of Finance
Creators: Wang, J.Y. and Markellos, R.N.
Publisher: Routledge
Date: 11 January 2018
ISSN: 1351-847X
Divisions: Schools > Nottingham Business School
Record created by: Linda Sullivan
Date Added: 10 Apr 2018 11:39
Last Modified: 11 Jul 2019 03:00

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