The pitch rather than the pit: investor inattention during FIFA world cup matches

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key findings. First, when the national team was playing, the number of trades dropped by 45%, while volumes were 55% lower. Second, market activity was influenced by match events. For instance, a goal caused an additional drop in trading activity by 5%. The magnitude of this reduction resembles what is observed during lunchtime, and as such might not be indicative for shifts in attention. However, our third finding is that the comovement between national and global stock market returns decreased by over 20% during World Cup matches, whereas no comparable decoupling can be found during lunchtime. We conclude that stock markets were following developments on the soccer pitch rather than in the trading pit, leading to a changed price formation process. JEL Classification: G12, G14, G15.Investor inattention, stock markets, trading volume, high-frequency data, soccer.

The Importance of Being Vigilant: Has ECB Communication Influenced Euro Area Inflation Expectations?

Using daily data on inflation-indexed bonds, we find evidence of a negative relationship between ECB communication regarding risks to price stability - measured on the basis of the frequency and strength of the keyword ‘vigilance’ - and changes in euro area break-even inflation. However, this result is only found for the second half of 2005. At that time, the start of a tightening of ECB monetary policy was increasingly likely. This suggests that communication should be closely in line with policy actions before it can be effective. Still, we also find that the economic significance of this type of communication has been small.central bank communication, ECB, inflation expectations

Is a word to the wise indeed enough? ECB statements and the predictability of interest rate decisions

We show that comments by euro area central bankers contain information on future ECB interest rate decisions, but that the comments mainly reflect recent developments in macroeconomic variables. Furthermore, models using only communication variables are outperformed by straightforward Taylor rule models. During the first years of the European Economic and Monetary Union, comments by ECB Executive Board members and high-level Bundesbank policy-makers were more informative than comments by national central bank presidents. We also find that differences of opinion were informative when they concerned the outlook for economic growth. Finally, our results suggest that the ECB used communication especially to signal interest rate increasescentral bank communication, ECB, interest rate decisions

Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news coverage. We conclude that ECB statements have mainly influenced volatility. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to ‘talk up’ the euro have not been successful. There is also evidence of asymmetric reactions to news.ECB, euro, foreign exchange, news approach

Does ECB Communication Help in Predicting its Interest Rate Decisions?

We examine the usefulness of communication by the European Central Bank for predicting its interest rate decisions. We use ordered probit models based on the Taylor rule which we estimate using statements by ECB officials as well as macroeconomic variables. Statements by ECB officials on the main refinancing rate and future inflation are significantly related to ECB decisions. However, an out-of-sample evaluation shows that communication-based models do not outperform models based on macroeconomic data in predicting decisions. Both sets of models only accurately predict decisions to leave interest rates unchanged.ECB communication, interest rate decision, Taylor rule, ordered probit models

Look Who’s Talking: ECB Communication during the First Years of EMU

This paper studies ECB and Bundesbank communication on monetary policy during the first years of the European Economic and Monetary Union. We study whether statements by different (groups of) central bankers have been contradictory and whether differences have diminished over time. We find that statements on the interest rate, inflation and economic growth have indeed been contradictory. Furthermore, national central banks continue to dominate communication on monetary policy. Finally, only the ECB Executive Board has observed radio silence before ECB Governing Council meetings. A positive conclusion is that, over time, interest rate statements have become less contradictory.central bank communication, European Central Bank, Bundesbank

Copy Debts? : Towards a cultural model for researchers' accountability in an age of web democracy

The highly standardized oral narrative about Sunjata, nowadays known as the Sunjata Epic, has been governing society since--at least--the fourteenth century when Arab travel writer Ibn Battuta on a trip along the Niger River reported a Sunjata tradition. This epic tells about the foundation of society--called "Mali" or "Mande"--and expresses values that go beyond the borders of countries: it explains the relationships among clans. It also prescribes how, based on patronymics and clan-related praise songs, every person should behave in public. The epic is also now much esteemed as Mali and Guinea's medieval history and as a national and supranational charter, maintaining prominence both in the mass media and in educational programs (cf. Bulman 2004; Adejunmobi 2011). The name "Mali" itself, which in 1960 became the official designation for the territory, is definitely the most striking example of this heightened status of the Sunjata Epic.Quotation marks removed from title to ensure alphabetical order. Different as follows; "Copy Debts"? : Towards a cultural model for researchers' accountability in an age of web democrac

Climatic cyclicity at Site 806; the GRAPE record

We used the continuous saturated bulk density records collected by the gamma-ray attenuation porosity evaluator (GRAPE) at Ocean Drilling Program Site 806 on the top of the Ontong Java Plateau to evaluate the continuity of the recovered cores and to splice together a complete section from the multiple holes drilled at the site (for the upper 165 m, this is equivalent to approximately 0-5 Ma). The lack of offset in core breaks (between the 9.5-m-long, successive cores) from hole to hole made splicing difficult, and the results are not unambiguous. The composite section was converted to a time series by using biostratigraphy and supplementing this with oxygen-isotope datums for the interval between 2 and 5 Ma. Evolutionary spectra generated from the composite section clearly indicate the presence of Milankovitch frequencies throughout the record. We chose a final age model that was most consistent with a Milankovitch model but have not, as yet, spectrally tuned the data. The GRAPE (saturated bulk density) changes at Site 806 are the result of changes in grain size, with density decreasing as grain size increases. We attribute this to the removal of fine particles by winnowing, leaving a greater percentage of large hollow foraminifers behind— the winnowing effect. This is in contrast to the dissolution effect, which breaks up large hollow foraminifers into fragments but merely transfers intraparticle porosity to interparticle porosity and thus shows significant changes in grain size without significant changes in density. A 300-k.y. piston core record reveals that during this time interval increased winnowing has been associated with glacials and 100-k.y. cyclicity. For the time interval from 5 to 2 Ma, enhanced winnowing continues to be associated with isotopically heavy intervals dominated by 41-k.y. (obliquity) variance. In this band, the winnowing record is highly correlated with the ice-volume record, particularly since the onset of Northern Hemisphere glaciations. Before that time, the grain-size record continues to show variance in the obliquity band whereas the oxygen isotope record shows a shift to the dominance of precessional frequencies. We suggest that the winnowing signal is a response to increased thermohaline circulation and benthic storm activity associated with enhanced north-south thermal gradients during times of climatic degradation