dc.contributor.author |
Gkillas, Konstantinos
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Marco Lau, Chi Keung
|
|
dc.contributor.author |
Suleman, Muhammad Tahir
|
|
dc.date.accessioned |
2020-01-28T13:13:45Z |
|
dc.date.issued |
2020 |
|
dc.description.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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2020-09-12 |
|
dc.description.librarian |
hj2020 |
en_ZA |
dc.description.uri |
https://www.tandfonline.com/loi/cjas20 |
en_ZA |
dc.identifier.citation |
Konstantinos Gkillas, Rangan Gupta, Chi Keung Marco Lau & Muhammad
Tahir Suleman (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, DOI:
10.1080/02664763.2019.1663157. |
en_ZA |
dc.identifier.issn |
0266-4763 (print) |
|
dc.identifier.issn |
1360-0532 (print) |
|
dc.identifier.other |
10.1080/02664763.2019.1663157 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/72998 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Taylor and Francis |
en_ZA |
dc.rights |
© 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Journal of Applied Statistics, vol. 47, no. 6, pp. 1109-1127, 2020. doi : 10.1080/02664763.2019.1663157. Journal of Applied Statistics is available online at : http://www.tandfonline.comloi/cjas20. |
en_ZA |
dc.subject |
Investor psychology |
en_ZA |
dc.subject |
Cricket |
en_ZA |
dc.subject |
India |
en_ZA |
dc.subject |
Stock market movements |
en_ZA |
dc.title |
Jumps beyond the realms of cricket : India's performance in one day internationals and stock market movements |
en_ZA |
dc.type |
Postprint Article |
en_ZA |