Effects of COVID-19 on Football Stock Market's Return and Uncertainty

被引：0
|
作者：
Bedir, Fatih [1 ]
Bozma, Gurkan [2 ]
Turan, Murat [3 ]
Mizrak, Orcan [1 ]
机构：
[1] Ataturk Univ, Fac Sports Sci, Erzurum, Turkey
[2] Igdir Univ, Fac Econ & Adm Sci, Igdir, Turkey
[3] Erzurum Tech Univ, Fac Sports Sci, Erzurum, Turkey
来源：
INTERNATIONAL JOURNAL OF SPORT FINANCE | 2022年 / 17卷 / 03期
关键词：
coronavirus; football stock market; ARIMA; EGARCH; TIME-SERIES; EVENTS; SOCCER; SPORT; PERFORMANCE; PERCEPTION; SENTIMENT; BEHAVIOR;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The cancellation of mass gatherings was one of the earliest measures implemented to combat the spread of COVID-19. One of the sectors affected by this situation was sports organizations. The study aimed to analyze the impact of COVID-19 on the returns and volatility of football club stocks using mean and variance estimates. In line with this aim, the Stoxx Football Index was used to estimate the stocks of football clubs, and a dummy variable was used to estimate the effect of COVID-19. According to the analyses, it was found that COVID-19 had a negative and statistically significant impact on football index revenue. On the other hand, the results of the second moment analysis, the EGARCH-X model, suggested an increase in the Stoxx Football Index conditional variance (volatility) due to COVID-19.
引用
收藏
页码：140 / 153
页数：14
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