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Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?

By Joao Leitao, Manuel Rocha Armada and Joaaquim Ferreira


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.

Topics: C53 - Forecasting and Prediction Methods; Simulation Methods, G15 - International Financial Markets, L83 - Sports; Gambling; Recreation; Tourism
Year: 2012
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