Impact of sports outcomes on retail investor limit order submission behaviour
This research was undertaken to investigate the effect of Australian sports – Australian Football League (AFL), State of Origin Rugby League (SORL) and the Melbourne Cup (MC) – on orders submission behaviour of retail investors. The research studied changes in aggressiveness, filled ratio, market depth, implementation shortfall, bid–ask spread and order size of a placed order by retail investor in the event of a surprise win, surprise loss, expected win, expected loss, conditional win, and conditional loss. The event study methodology was used for analysis. The orders I used were submitted to one of the top brokerage houses based in Australia. No specific trend for order submission behaviour of the retail investors could be established. However, findings suggest that, on the day following sporting events, higher numbers of investors are active, larger numbers of orders are placed, and noticeable changes are observed in the variables considered.