Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements
Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements
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DOI：
10.1080/02664763.2019.1663157
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发表时间：
2019-09
影响因子：
1.5
通讯作者：
Konstantinos Gkillas;Rangan Gupta;C. Lau;M. Suleman
中科院分区：
文献类型：
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作者：
Konstantinos Gkillas;Rangan Gupta;C. Lau;M. Suleman
基于2006年10月30日至2017年3月31日的盘中数据，我们研究了印度板球队在为期一天的国际板球比赛中的表现对印度股市回报、实现波动和跳跃的影响。使用非参数分位数因果关系测试，我们能够从主要波动和跳跃的输赢中发现可预测性的证据，特别是在条件分布的较低分位数中，输赢比输赢具有更强的可预测性。然而，对股票收益的影响是微弱的，并且限制在条件分布的上端。
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.