Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements

Konstantinos Gkillas; Rangan Gupta; Chi Keung Marco Lau; Muhammad Tahir Suleman

doi:10.1080/02664763.2019.1663157

Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements

J Appl Stat. 2019 Sep 12;47(6):1109-1127. doi: 10.1080/02664763.2019.1663157. eCollection 2020.

Authors

Konstantinos Gkillas¹, Rangan Gupta², Chi Keung Marco Lau³, Muhammad Tahir Suleman⁴

Affiliations

¹ Department of Business Administration, University of Patras, Patras, Greece.
² Department of Economics, University of Pretoria, Pretoria, South Africa.
³ Huddersfield Business School, University of Huddersfield, Huddersfield, UK.
⁴ Department of Financial and Business Analysis, Lincoln University, Christchurch, New Zealand.

Abstract

We examine the impact of the Indian cricket team's performance in one-day international cricket matches on return, realized volatility and jumps of the Indian stock market, based on intraday data covering the period of 30th October, 2006 to 31st March, 2017. Using a nonparametric causality-in-quantiles test, we were able to detect evidence of predictability from wins or losses for primarily volatility and jumps, especially over the lower-quantiles of the conditional distributions, with losses having stronger predictability than wins. However, the impact on the stock return is weak and restricted towards the upper end of the conditional distribution.

Keywords: C22; G1; India; Investor psychology; cricket; stock market movements.