| Abstract: |
At the 2010 FIFA World Cup in South Africa, many soccer matches were played
during stock market trading hours, providing us with a natural experiment to
analyze fluctuations in investor attention. Using minute-by-minute trading
data for fifteen international stock exchanges, we present three key findings.
First, when the national team was playing, the number of trades dropped by
45%, while volumes were 55% lower. Second, market activity was influenced by
match events. For instance, a goal caused an additional drop in trading
activity by 5%. The magnitude of this reduction resembles what is observed
during lunchtime, and as such might not be indicative for shifts in attention.
However, our third finding is that the comovement between national and global
stock market returns decreased by over 20% during World Cup matches, whereas
no comparable decoupling can be found during lunchtime. We conclude that stock
markets were following developments on the soccer pitch rather than in the
trading pit, leading to a changed price formation process. |