Nationally Important Sports Events and Stock Market Response: Evidence from Finland
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School of Business |
Master's thesis
Ask about the availability of the thesis by sending email to the Aalto University Learning Centre oppimiskeskus@aalto.fi
Author
Date
2018
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
67
Series
Abstract
Among the return and trading volume anomalies discovered by behavioral finance literature is the observation of sports events affecting the stock market, both in the theoretical frameworks of investor sentiment being altered by important sports wins and losses, and investors’ limited attention being focused at sports events instead of the trading environment. This thesis studies these phenomena in the Finnish context and finds out that no such sports related stock market reaction seems to exist. This holds when studying the post-event, next trading day price and volume reaction during the years 2000 – 2017 and when studying the intra-day volume reaction with high-frequency data during the years 2006 – 2017. In the light of Finland’s favorable characteristics for these anomalies to occur, a valid explanation for missing results arises from the pioneering data generation method this thesis presents. While related literature, where anomaly supportive findings has been discovered, has been criticized of data mining, I employ a unique method to filter the relevant events by using Finnish TV viewing figures as proxy for event importance. This ensures that the data consists of a variety of sports and of events that the Finnish population, arguably including Finnish market participants, considers as the most important ones. Hence, these events should be in the foremost position to affect investors’ moods and attention. Given the lack of sports related stock market response and the objective way of validating this thesis’ data, I take a critical stand towards the earlier findings of related literature and argue, that sports events seem not to be valid investor mood or attention variables. However, the presented results hold on a Finnish stock market-wide level, but it is out of the scope of this thesis to study the effects on a micro-level focusing on individual stocks or retail investors only. Thus, future studies have an interesting path to continue studies in this context.Description
Thesis advisor
Puttonen, VesaKeywords
sports, sentiment, investor, mood, investor, attention, stock, market
