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
Number of pages19
JournalJournal of Applied Statistics
Early online date12 Sep 2019
DOIs
Publication statusE-pub ahead of print - 12 Sep 2019

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Predictability
Conditional Distribution
Stock Market
Quantile
Jump
Realized Volatility
Stock Returns
Causality
Volatility
Covering
Movement
Cricket
Conditional distribution
Stock market
International markets
Evidence
Intraday data
Stock returns
Realized volatility
Team performance

Cite this

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Jumps beyond the realms of cricket : India’s performance in One Day Internationals and stock market movements. / Gkillas, Konstantinos ; Gupta, Rangan ; Lau, Chi Keung; Suleman, Muhammad Tahir.

In: Journal of Applied Statistics, 12.09.2019.

Research output: Contribution to journalArticle

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