Leitao, Joao and Armada, Manuel Rocha and Ferreira, Joaaquim (2012): Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?
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This paper analyses whether the Calciocaos, which involved some Italian listed sport companies, impacted on the performance of the Dow Jones Stoxx Football index and if this was spread through shock propagation. The Calciocaos impact is assessed by using a cointegrated vector autoregression model. The results provide evidence of the occurrence of spreading mechanisms of the effects originated by the corruption episode. After this episode Juventus’ stock and Sporting’s stock have particular importance in determining the performance of the Dow Jones Stoxx Football index. The investors/supporters of la Vecchia Signora revealed sentimental behaviour, and did not sell their participations.
|Item Type:||MPRA Paper|
|Original Title:||Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?|
|Keywords:||Cointegration, Contagion, Corruption, Stocks performance|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
L - Industrial Organization > L8 - Industry Studies: Services > L83 - Sports; Gambling; Recreation; Tourism
|Depositing User:||João Leitão|
|Date Deposited:||08. Nov 2012 08:14|
|Last Modified:||14. Feb 2013 13:27|
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