Leitao, Joao and Armada, Manuel Rocha and Ferreira, Joaaquim (2012): Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?
Download (629kB) | Preview
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 ; Restaurants ; Recreation ; Tourism
|Depositing User:||João Leitão|
|Date Deposited:||08 Nov 2012 08:14|
|Last Modified:||25 May 2016 10:13|
Ahlin, C. and Pang, J. (2008). Are financial development and corruption control in promoting growth?. Journal of Develop-ment Economics, 86, 414-433.
Ascari, G. and Gagnepain P. (2006). Spanish football. Journal of Sports Economics, Vol.7 No.1:76-89.
Baig, T. and Goldfajn, I. (2000). The Russian default and the contagion to Brazil. IMF Working paper, Working paper No.00/160.
Barajas, A.; Fernández-cardón, C.; and Crolley, L. (2005). Does sports performance influence revenues and economic results in Spanish football?. MPRA Paper, No. 3234, posted November 2007.
Baroncelli, A. and Lago, U. (2006). Italian football. Journal of Sports Economics, Vol.7, N.º1, 13-28.
Barros, C. (2006). Portuguese football. Journal of Sports Economics, Vol. 7, N.º 1, 96-104.
Batyrberkov, K. (2007). Soccer stocks: market reaction to game results of professional soccer franchises. Undergraduate the-sis, Harvard College, Harvard.
Berument, H; Ceylan, N.; and Gozpinar, E. (2006). Performance of soccer on the stock market: evidence from Turkey. The Social Science Journal, 43, 695-699.
Boido, C. and Fasano, A. (2007). Football and mood in Italian Stock Exchange. The Journal of Behavioral Finance, Vol. 4, N.º 4, 32-50.
Buraimo, B.; Simmons, R.; and Szymansky, S. (2006). English football. Journal of Sports Economics, Vol. 7 N.º 1, 29-46.
Chakravorti, S. and Lall, S. (2004). Managerial incentives and financial contagion. IMF Working Paper, WP/04/199.
Chiang, T.; Jeon, N.; and Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian Markets. Journal of International Money and Finance, 26, 1206-1228.
Ciocchini, F; Durbin, E.; and David, T. (2003). Does corruption increase emerging market bond spreads?. Journal of Econom-ics and Business, 55, 503-528.
Corsetti, G.; Pericoli, M.; and Sbracia, M. (2005). Some contagion, some interdependence: More pitfalls in tests of financial contagion. Journal of International Money and Finance, 24, 1177-1199.
Dickey, D. and Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
Didier, T.; Mauro P.; and Schumkler, S. (2007). Vanishing Financial Contagion?. Journal of Policy Modeling, 30(5), 775-791.
Dornbusch, R.; Park, Y.; and Claessens, S. (2000). Contagion: Understanding how it spreads. The World Bank Research Ob-server, Vol. 15, N.º 2, 177-197.
Eun, C. and Shim, S. (1989). International transmission of stock market movements. Journal Financial and Quantitative Anal-ysis, 24, 241–256.
Fazio, G. (2007). Extreme interdependence and extreme contagion between emerging markets. Journal of International Money and Finance, 31, 1261-1291.
Forbes, K. and Rigobon (2000). Contagion in Latin America: Definitions, Measurement and Policy Implications. NBER Work-ing Paper Series, Working Paper 7885.
Forbes, K. and Rigobon (2001). Measuring Contagion: Conceptual and Empirical issues. In Stijn Claessens and Kristin Forbes (Eds.), International Financial Contagion, Kluwer Academic Publishers: 1-27.
Frick, B. and Prinz, J. (2006). Crisis? What Crisis? Football in Germany. Journal of Sports Economics, Vol. 7 No. 1, 60-75.
Goel, R. and Nelson, M. (2007). Are corrupt acts contagious? Evidence from the United States. Journal of Policy Modeling, 29, 839-850.
Goux, J. (1996). Le canal étroit du crédit en France. Revue D’Économie Politique, 106(4), Juillet-Août, 1996, 655-681.
Granger, W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
Gropp, R.; Lo Duca, M.; and Vesala, J. (2009). Cross-Border Bank contagion in Europe. International Journal of Central Banking, March 2009 Issue: 97-139.
Guégan, D. (2008). Contagion between the financial sphere and real economy. Parametric and non-parametric tools: A com-parison. In , NY, (Ed.), Progress in Financial Market Analysis, NOVA publishers, 25-45.
Haan, M.; Koning, R.; and Witteloostuijn, A. (2002). Market forces in European Soccer, Research Report 02F18, SOM, Uni-versity of Groningen, 2002:1-29. http://irs.ub.rug.nl/ppn/241199409 [Accessed in 08/12/02]
Haile, F. and Pozo, S. (2007). Currency Crisis contagion and the identification of transmission channels. International Review of Economics and Finance, 17, 1-17.
Hon. T.; Strauss, J.; and Yong, S. (2007). Deconstructing the Nasdaq bubble: A look at contagion across international stock markets. Journal of International Financial Markets, Institutions and Money, 17, 213-230.
Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregression Models. Econometrica, 59, 1551-1580.
Johansen, S. and Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to Money Demand. Oxford Bulletin of Economics and Statistics, 52, 169-210.
Jokipii, T. and Lucey, B. (2007). Contagion and interdependence: Measuring CEE banking sector co-movements. Economic Systems, 31, 71-96.
Juselius, K. (2007). The Co-integrated VAR Model – Methodology and Applications, Oxford University Press.
Kasa, K. (1992). Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics, 29: 95-124.
Khalid, A. and Kawai, M. (2003). Was financial Market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model. Journal of Asian Economics, 14, 131-156.
Koch, P. and Koch, T., (1991). Evolution in dynamic linkages across daily national stock indexes. Journal of International Money and Finance, 10, 231–251.
Kumar, M. and Persaud, A. (2002). Pure contagion and investors shifting risk appetite: Analytical issues and empirical evi-dence. International Finance, 5(3), 431-436.
Kwiatkowski, D.; Phillips, P.; Schmidt, P.; and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alterna-tive of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54, 159-178.
Lee, H.; Wu, H.; and Wang, Y. (2007). Contagion effect in financial markets after South-East Asian Tsunami. Research in International Business and Finance, 21, 281-296.
Leitão, J. and Oliveira, C. (2007). The Puzzling effect of September Eleven on interdependences of international stock markets. ICFAI Journal of Applied Economics, Vol. 6(4), 35-51.
Leitão, J. (2008). The Taylor Effect on the Performance of the Red Devils’ Football Brand. In Helmut D.; E. Franck; and H. Kempf (Eds.), Football – Economics of a Passion. Hofmann-Verlag, Sportökonomie, 10, 289-307.
Lütkepohl, H. (1999). Vector Autoregressions. Working Paper of Institut für Statistik und Ökonometrie, Humboldt, Universitat, Berlin.
Lütkepohl, H. (2004). Recent advances in cointegration analysis. European University Institute - Economics Working Papers, ECO2004/12, Florence.
Miralles, J. and Miralles, J. (2003). Relações Dinâmicas entre as principais bolsas de valores: Os efeitos sobre a Euronext Lis-boa. Revista de Gestão e Economia, 5, 8-20.
Morrow, S. (2006). Scottish football: it´s a funny old business. Journal of Sports Economics, vol. 7 No. 1, 90-95.
Osterwald-Lenun, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, 461-471.
Phillips, P. and Perron, P. (1988). Testing for unit root in time series regression. Biometrika, 75, 335–346.
Schoenmaker, D. (1996). Contagion risk in banking. London School of Economics, Financial Markets Group, Publications Working Papers, 86-103.
Sims, C. (1980). Macroeconomics and reality. Econometrica, Vol.48, Nº.1, 1-49.
Treisman, D. (2000). The causes of corruption: a cross-national study. Journal of Publics Economics, 76, 3, 399-457.
Vinod, H. (2003). Open economy and financial burden of corruption: theory and application to Asia. Journal of Asian Economics, 13, 873-890.
Watson, M. (1994). Vector Autoregressions and Cointegration. In Engle, R.; Mcfadden, D. (Eds), Handbook of Econometrics, Vol IV, Chapter 47, 2844 – 2915.
Yang, J. and Bessler, D. (2008). Contagion around the October 1987 stock market crash. European Journal of Operational Research, 184, 291-310.
Ziglydoupolos, S.; Fleming, P.; and Rothenberg, S. (2008). Rationalization, overcompensation and the escalation of corruption in organizations. Journal of Business Ethics, 84(1), 65-73.