This paper assesses the effects of domestic football teams' performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in...

This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and...

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle...

There is an emerging but important literature on the effects of sport events such as soccer on stock market returns. After a soccer team's win, agents discount future events more favorably and increase risk tolerance. Similarly, after a loss, risk tolerance decreases. This paper directly...