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Year 2013, Volume: 4 Issue: 3, 107 - 121, 30.09.2013

Dilek Demirhan

Abstract

Bu çalışmanın amacı, Türk milli futbol takımının sportif başarısının Borsa İstanbul (BIST) -100 endeksi getirisi üzerinde etkili olup olmadığını ortaya koymaktır. Futbol maçlarının sonuçları ve hisse senedi getirileri arasındaki ilişki birçok kişi tarafından araştırılmış olup, bu çalışmalardan bazılarında ikisi arasında istatistiksel bir ilişki olduğu saptanmıştır. Bu makalede GARCH analizi kullanılarak Türk milli futbol takımı maç sonuçlarının BIST-100 endeks getirisi üzerindeki etkileri araştırılmıştır. Analiz 04.01.1988-25.05.2011 tarihleri arasında oynanılan tüm futbol maçlarını kapsamaktadır. Bulgulara gore, Türk milli futbol takımının kazandığı maçlar endeks getirisini etkilemezken, kaybettiği veya berabere kaldığı maçlar ise negatif bir etkiye sahiptir

Keywords

Behavioural finance Sporting success stock market returns GARCH analysis

References

  • Ashton, J.K., Gerrard, B. and Hudson, R. 2003. Economic Impact of National Sporting Success: Evidence From the London Stock Exchange. Applied Economic Letters. 10: 783-785
  • Ashton, J.K., Gerrard, B. and Hudson, R. 2010. Do National Soccer Results Really Impact on the Stock Market? Applied Economics. iFirst : 1-9
  • Aygoren, H., Uyar, S. and Saritas H. 2008.Yatirimcilar Futbol Maçlarının Sonuçlarından Etkilenir mi? İstanbul Menkul Kıymetler Borsası’nda Bir Uygulama. H.U.Iktisadi ve İdari Bilimler Fakültesi Dergisi. 26 (1): 121-137
  • Bell, A. R., Brooks C., Matthews D. and Sutcliffe C. 2012. Over The Moon or Sick As a Parrot? The Effects of Football Results on a Club’s Share Price. Applied Economics. 44: 3535-3452
  • Berument H.and Yucel E.M. 2005. Long live Fenerbahçe: The Production Boosting Effects of Football. Journal of Economic Psychology. 26: 842-861
  • Berument, H., Ceylan N.B. and Gozpinar E. 2006 .Performance of Soccer on the Stock Market: Evidence from Turkey. The Social Science Journal. 43: 695-699
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  • Boido, C.. Fasano, A. 2007. Football and mood in Italian stock exchange. The Icfai University Journal of Behavioral Finance, 4: 32-50.
  • Bollersev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 31: 307-327
  • Boyle, G. And Walter B. 2003. Reflected Glory and Failure: International Sporting Success and the Stock Market. Applied Financial Economics. 13: 225-235
  • Coates, D. and Humphreys B.R. 2008. The Effect of On-Field Success on Stock Prices: Evidence From Nippon Professional Baseball. North American Association of Sports Economists, Working Paper Series, No: 08-05
  • Dogru, C. 2010. Futboldaki Mac Sonuclarının Hisse Senetleri Uzerindeki Etkisi: Galatasaray Sportif Sınai ve Ticari Yatırımlar A.S. Uzerine Bir Inceleme. 9.Ulusal İşletmecilik Kongresi, 6-8 Mayıs 2010, Zonguldak
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  • Engle, R.F. 1982. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UnitedKingdom Inflation. Econometrica: Journal of the Econometric Society. 50(4) :987- 1007
  • Engle, R.F. 2001. GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics. NYU Working Paper. FIN-01-030
  • Fama E.F.1991. Efficient Capital Markets:II. The Journal of Finance.46(5): 1575-1617
  • Gerlach, J.R. 2011. International Sports and Investor Sentiment: Do National Team Matches Really Affect Stock Market Returns?. Applied Financial Economics. 21(12): 863-880
  • Kaplanski G.and Levy H. 2010. Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market. Journal of Financial and Quantitative Analysis. 45(2): 535-553
  • Klein, C., Zwergel B.and, Fock, H. 2009a. Reconsidering the Impact of National Soccer Results on the FTSE 100. Applied Economics, 41: 3287-3294
  • Klein, C., Zwergel B. and Heiden S. 2009b. On the Existence of Sports Sentiment: The Relation Between Football Match Results and Stock Index Returns in Europe. Review of Management Science. 3: 191-208
  • Palomino, F.,Renneboog L.and Zhang, C. 2005. Stock Price Reactions to Short-lived Public Information: The Case of Betting Odds. Center for Economic Research, Working Papers, No:2005-62
  • Renneboog, L. and Vanbrabant P. 2000. Share Price Reaction to Sporty Performance of Soccer Clubs Listed on the London Stock Exchange and AIM. Center for Economic Research, Working Paper, No:2000-19
  • Scholtens, B.and Peenstra W. 2009. Scoring on the Stock Exchange? The Effect of Football Matches on Stock Market Returns: An Event Study. Applied Economics, 41: 3231-3237
  • Stadtmann,G. 2006.Frequent News and Pure Signals: The Case of a Publicly Traded Football Club. Scottish Journal of Political Economy, 53: 485-504
  • Statman, M.1995. Behavioral Finance versus Standard Finance. In Behavioral Finance and Decision Theory in Investment Management. Edited by Arnold S. Wood. Charlottesville, VA:AIMR.
  • Tsay R.S.2005.Analysis of Financial Time Series. 2nd ed. Wiley Series in Probability and Statistics.John Wiley and Sons Inc.
  • Tufan, E. 2004. Do World Cup Football Matches Affect Istanbul Stock Exchange?. Available at SSRN: http://ssrn.com/abstract=705343 or http://dx.doi.org/10.2139/ssrn.705343

STOCK MARKET REACTION TO NATIONAL SPORTING SUCCESS: CASE OF ISTANBUL STOCK EXCHANGE

Year 2013, Volume: 4 Issue: 3, 107 - 121, 30.09.2013

Dilek Demirhan

Abstract

The aim of this study is to investigate whether the sporting success of Turkish national soccer team affects ISE (Istanbul Stock Exchange) -100 index returns. The impact of soccer games’ outcomes on stock returns has been studied by many researchers, some of them found a relationship between the scores of the matches and stock returns, whereas others did not. In this study the effects of all the games of Turkish national soccer team between 04.01.1988-25.05.2011 on ISE-100 index returns are investigated by using GARCH analysis. According to the findings, the wins of the national team are not affecting the ISE-100 index return, whereas the failures (losses and draws) have a negative effect.

Keywords

Behavioral finance Sporting success stock market returns GARCH analysis

References

  • Ashton, J.K., Gerrard, B. and Hudson, R. 2003. Economic Impact of National Sporting Success: Evidence From the London Stock Exchange. Applied Economic Letters. 10: 783-785
  • Ashton, J.K., Gerrard, B. and Hudson, R. 2010. Do National Soccer Results Really Impact on the Stock Market? Applied Economics. iFirst : 1-9
  • Aygoren, H., Uyar, S. and Saritas H. 2008.Yatirimcilar Futbol Maçlarının Sonuçlarından Etkilenir mi? İstanbul Menkul Kıymetler Borsası’nda Bir Uygulama. H.U.Iktisadi ve İdari Bilimler Fakültesi Dergisi. 26 (1): 121-137
  • Bell, A. R., Brooks C., Matthews D. and Sutcliffe C. 2012. Over The Moon or Sick As a Parrot? The Effects of Football Results on a Club’s Share Price. Applied Economics. 44: 3535-3452
  • Berument H.and Yucel E.M. 2005. Long live Fenerbahçe: The Production Boosting Effects of Football. Journal of Economic Psychology. 26: 842-861
  • Berument, H., Ceylan N.B. and Gozpinar E. 2006 .Performance of Soccer on the Stock Market: Evidence from Turkey. The Social Science Journal. 43: 695-699
  • Berument, H., Ceylan N.B. and Ogut-Eker G. 2009. Soccer, Stock Returns and Fanaticsm: Evidence from Turkey. The Social Science Journal. 46: 594-600
  • Boido, C.. Fasano, A. 2007. Football and mood in Italian stock exchange. The Icfai University Journal of Behavioral Finance, 4: 32-50.
  • Bollersev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics. 31: 307-327
  • Boyle, G. And Walter B. 2003. Reflected Glory and Failure: International Sporting Success and the Stock Market. Applied Financial Economics. 13: 225-235
  • Coates, D. and Humphreys B.R. 2008. The Effect of On-Field Success on Stock Prices: Evidence From Nippon Professional Baseball. North American Association of Sports Economists, Working Paper Series, No: 08-05
  • Dogru, C. 2010. Futboldaki Mac Sonuclarının Hisse Senetleri Uzerindeki Etkisi: Galatasaray Sportif Sınai ve Ticari Yatırımlar A.S. Uzerine Bir Inceleme. 9.Ulusal İşletmecilik Kongresi, 6-8 Mayıs 2010, Zonguldak
  • Edmans, A., Garcia, D.and Norli O. 2007.Sports Sentiment and Stock Returns. The Journal of Finance. 62 (4): 1967-1998
  • Engle, R.F. 1982. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UnitedKingdom Inflation. Econometrica: Journal of the Econometric Society. 50(4) :987- 1007
  • Engle, R.F. 2001. GARCH 101: An Introduction to the Use of ARCH/GARCH models in Applied Econometrics. NYU Working Paper. FIN-01-030
  • Fama E.F.1991. Efficient Capital Markets:II. The Journal of Finance.46(5): 1575-1617
  • Gerlach, J.R. 2011. International Sports and Investor Sentiment: Do National Team Matches Really Affect Stock Market Returns?. Applied Financial Economics. 21(12): 863-880
  • Kaplanski G.and Levy H. 2010. Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market. Journal of Financial and Quantitative Analysis. 45(2): 535-553
  • Klein, C., Zwergel B.and, Fock, H. 2009a. Reconsidering the Impact of National Soccer Results on the FTSE 100. Applied Economics, 41: 3287-3294
  • Klein, C., Zwergel B. and Heiden S. 2009b. On the Existence of Sports Sentiment: The Relation Between Football Match Results and Stock Index Returns in Europe. Review of Management Science. 3: 191-208
  • Palomino, F.,Renneboog L.and Zhang, C. 2005. Stock Price Reactions to Short-lived Public Information: The Case of Betting Odds. Center for Economic Research, Working Papers, No:2005-62
  • Renneboog, L. and Vanbrabant P. 2000. Share Price Reaction to Sporty Performance of Soccer Clubs Listed on the London Stock Exchange and AIM. Center for Economic Research, Working Paper, No:2000-19
  • Scholtens, B.and Peenstra W. 2009. Scoring on the Stock Exchange? The Effect of Football Matches on Stock Market Returns: An Event Study. Applied Economics, 41: 3231-3237
  • Stadtmann,G. 2006.Frequent News and Pure Signals: The Case of a Publicly Traded Football Club. Scottish Journal of Political Economy, 53: 485-504
  • Statman, M.1995. Behavioral Finance versus Standard Finance. In Behavioral Finance and Decision Theory in Investment Management. Edited by Arnold S. Wood. Charlottesville, VA:AIMR.
  • Tsay R.S.2005.Analysis of Financial Time Series. 2nd ed. Wiley Series in Probability and Statistics.John Wiley and Sons Inc.
  • Tufan, E. 2004. Do World Cup Football Matches Affect Istanbul Stock Exchange?. Available at SSRN: http://ssrn.com/abstract=705343 or http://dx.doi.org/10.2139/ssrn.705343
There are 27 citations in total.

Details

Primary Language English
Journal Section SPORT MANAGEMENT
Authors

Dilek Demirhan

Publication Date September 30, 2013
Published in Issue Year 2013 Volume: 4 Issue: 3

Cite

APA Demirhan, D. (2013). STOCK MARKET REACTION TO NATIONAL SPORTING SUCCESS: CASE OF ISTANBUL STOCK EXCHANGE. Pamukkale Journal of Sport Sciences, 4(3), 107-121.