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

Konstantinos Gkillas, Rangan Gupta, Chi Keung Lau, Muhammad Tahir Suleman

Research output: Contribution to journalArticle

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.
Original languageEnglish
Pages (from-to)1109-1127
Number of pages19
JournalJournal of Applied Statistics
Volume47
Issue number6
Early online date12 Sep 2019
DOIs
Publication statusPublished - 1 Jun 2020

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