Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements

This study examines the impact of the Indian cricket team's performance in one day international (ODI) 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. Standard linear Granger causality test fail to detect any evidence of wins or losses causing stock market movements. But given strong evidence of nonlinearity between our various stock market metrics and results of ODI matches, we next use a nonparametric causality-in-quantiles test, given the misspecification of the linear model. Using this data-driven robust approach, we were 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 stock return is weak and restricted towards the upper end of the conditional distribution. A closer look at our results tend to suggest that, when we control for misspecification, India’s performances in ODI matches mainly affects large non-diversifiable risks (i.e., large jumps), and in the process drives market (systematic) risk (or uncertainty, which in turn has important implications for investors.