Football sentiment and stock market returns: Evidence from a frontier market

• Published in: Journal of behavioral and experimental finance 2021-06, Vol.30, p.100472, Article 100472
• Main Authors: Truong, Quang-Thai, Tran, Quynh-Nhu, Bakry, Walid, Nguyen, Duc Nguyen, Al-Mohamad, Somar
• Format: Article
• Language: English
• Subjects: Behavioral biases; Efficient market hypothesis; Football sentiment; Investor mood; Stock returns
• ISSN: 2214-6350; 2214-6350
• DOI: 10.1016/j.jbef.2021.100472

This study examines the effect of investor sentiment on the Vietnamese stock market. Using the results of international football matches as exogenous shocks on investor sentiment, and information from two major stock exchanges, we document a link between investor sentiment and stock market returns. In particular, we find a decline in market returns on the subsequent trading days after game losses. Moreover, the effect of investor sentiment on stock market returns is more pronounced between 2015 and 2020 during which football fans exhibited a stronger affection and attention to their teams. The results further depict that the impact of investor sentiment on stock market returns is only significant for small-cap stocks, and when more important tournaments are played. •The effect of investor sentiment on stock market returns is investigated using the context of a frontier market: Vietnam.•Using results of international football matches to indicate investor sentiment, we find a market decline on the subsequent days after losses.•The impact of investor sentiment is more pronounced for small-cap stocks, for more important competitions, and during the period with stronger attention of local football fans.•Results are confirmed using various robustness tests.