@article{81897058c9124ae6896f8e874b3629ef,
title = "Market quality surrounding anticipated distraction events: evidence from the FIFA World Cup",
abstract = "This study examines the effects of intra-day anticipated distraction events on market quality. This is achieved by exploiting the quasi-random nature by which FIFA World Cup football matches overlap with the domestic trading hours of participating countries. Utilizing stock market data from 24 countries and a sample of 95 football matches, I find that match days exhibit pre-match increases to trading volume and contemporaneous declines to trading activity. Market volatility follows a similar trend. Realized spreads are increased during matches. Match time is associated with increased price efficiency, suggesting reduced noise trading.",
keywords = "Distraction, Limited attention, Market quality",
author = "Drummond, \{Philip A.\}",
note = "Funding Information: ☆ This article is based on a chapter of my doctoral dissertation, which was completed at the Australian National University. I am grateful for the supervision of Raymond Liu, Phong Ngo, Hanlin Shang, and Jianxin Wang. I also thank Paolo Pasquariello (the editor), two anonymous referees, Lasse Bork, James Brugler, Jan Drienko, Doug Foster, Neal Galpin, Jianlei Han, Xiaomeng Lu, Lilian Ng, Terry Pan, Jianfeng Shen, Wing Wah Tham, and Haifeng Wu for helpful comments and suggestions. I also thank conference participants at the 2021 American Economic Association (AEA) Annual Meeting, the 2020 Financial Management Association (FMA) Annual Meeting, the 2017 7th Annual Financial Research Network (FIRN) Conference, the 2017 Auckland Finance Meeting, the 2017 30th Australasian Finance and Banking Conference, the 2017 7th Securities Industry Research Centre of Asia-Pacific (SIRCA) Young Researchers Workshop, and the 2017 30th Ph.D. Conference in Economics and Business hosted by the University of Melbourne. I also thank seminar participants at the Australian National University, Macquarie University, Monash University, and the University of Queensland. Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",
year = "2023",
month = mar,
doi = "10.1016/j.finmar.2022.100768",
language = "English",
volume = "63",
journal = "Journal of Financial Markets",
issn = "1386-4181",
publisher = "Elsevier",
}