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

Bedir F., Bozma G., Turan M., Mızrak O.

INTERNATIONAL JOURNAL OF SPORT FINANCE, cilt.17, sa.3, ss.140-153, 2022 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 17 Sayı: 3
  • Basım Tarihi: 2022
  • Dergi Adı: INTERNATIONAL JOURNAL OF SPORT FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, CAB Abstracts, EconLit, SportDiscus
  • Sayfa Sayıları: ss.140-153
  • Anahtar Kelimeler: coronavirus, football stock market, ARIMA, EGARCH, TIME-SERIES, EVENTS, SOCCER, SPORT, PERFORMANCE, PERCEPTION, SENTIMENT, BEHAVIOR
  • Atatürk Üniversitesi Adresli: Evet

Özet

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.