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.
Gkillas, K., Gupta, R., Lau, C. K., & Suleman, M. T. (2020). Jumps beyond the realms of cricket: India’s performance in One Day Internationals and stock market movements. Journal of Applied Statistics, 47(6), 1109-1127. https://doi.org/10.1080/02664763.2019.1663157