Reexamining Sports-Sentiment Hypothesis: Microeconomic Evidences from Borsa Istanbul

Ka Wai Terence Fung, Ender Demir, Chi Keung Marco Lau, Kwok Ho Chan

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sports-sentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms, and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the ‘overreaction’ hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.
Original languageEnglish
Pages (from-to)337-355
Number of pages19
JournalJournal of International Financial Markets, Institutions and Money
Early online date5 Dec 2014
Publication statusPublished - 1 Jan 2015
Externally publishedYes


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