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Impact of sports outcomes on retail investor limit order submission behaviour

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posted on 2022-07-21, 00:33 authored by Anil Gautam

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.

History

Table of Contents

Chapter 1. Introduction -- Chapter 2. Literature Review -- Chapter 3. Research Methodology -- Chapter 4. Dataset Samples -- Chapter 5. Results and Discussion -- Chapter 6. Conclusion, Limitations of Study and Further Study -- References -- Appendix

Notes

A thesis in partial fulfilment of the requirements of Macquarie University for the degree of Master of Research

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

Thesis (MRes), Macquarie University, Macquarie Business School, Department of Applied Finance, 2020

Department, Centre or School

Department of Applied Finance

Year of Award

2020

Principal Supervisor

Grace Lepone

Rights

Copyright disclaimer: https://www.mq.edu.au/copyright-disclaimer Copyright Anil Gautam 2020

Language

English

Extent

xi, 91 pages

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