Efficient Market hypothesis and Cointegration for Share Prices of Italian Football Clubs
SKU: 9915372004
Torpedo Carlos N. - Tena Horrillo Juan de Dios
15,99 €

Nr. Pagine
8
Estratto Rivista

Rassegna di diritto ed economia dello sport 2-3/2015

Formato
PDF

We test the efficient market hypothesis for the three Italian clubs whose shares are publicly traded: Roma, Lazio and Juventus. In particular, we test for the presence of cointegration of weekly series of share prices with the FTSE MIB 40 index that takes into account the general evolution of the Italian stock market. It is found that the value of Italian football clubs follows the same evolution as the general market in the long run. However, Juventus reacts endogenously to the long-run dynamics of the market and its price changes could be predicted from previous deviations of this equilibrium, what is not consistent with the efficient market hypothesis. On the other hand, Lazio and Roma are weakly exogenous processes and they are only affected by their own specific shocks that make them safe heaven assets in time of crisis.

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