Effects of soccer on stock markets: The return–volatility relationship

This paper assesses the effects of domestic soccer teams’ performances against foreign rivals on stock market returns as well as on the return–volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return–volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated with lower returns and higher risk aversion but evidence from Chile and Turkey, where soccer is the most important sport but teams are not as successful, reveals that wins are associated with higher returns and lower risk aversion.

► Soccer teams’ performances affect stock market returns and return–risk relationship.
► After a win return increases and agents become more risk lower.
► After a loss return decreases and agents become more risk averse.