ARE FINANCIAL INVESTORS PRONE TO EXOGENOUS (CRICKET) SENTIMENTS THAT AFFECTS EQUITY INVESTMENT DECISION AND INDUCES VOLATILITY IN STOCK MARKET?
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Published:2020-05-27
Issue:2
Volume:38
Page:
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ISSN:1697-5731
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Container-title:Studies of Applied Economics
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language:
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Short-container-title:EEA
Author:
Kashif Muhammad,Shaikh Asra,Rehman Mobeen Ur
Abstract
This paper examines the volatility in stock returns due to mood-swings of financial investors affected by the outcome of one-day international (ODI) cricket matches played by Pakistan against cricketing nations. The impact of matches is analyzed on same-day and for next-day volatility in returns by using Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH 1,1) and Glosten, Jagannathan & Runkle (GJR 1,1) methodology, supported by Engle (arch), L-Jung Q-stats (auto-correlation) and Jarque-Bera (normality) tests. Empirical time-series results show volatility can be predicted through past volatility and can be generalized. The win or loss position of Pakistan in ODI has a significant influence on next day volatility of stock returns. However, GJR analysis provides strong evidence of asymmetric behavior on next day in Karachi Stock Exchange (KSE)-100 index, states bad-news resulting from ODI matches has a significant negative influence on the next-day volatility of stock returns, due to less trading on the subsequent day of the match.
Publisher
Editorial Universidad de Almeria
Subject
Economics and Econometrics