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,wewere 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.
