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This study aims to measure the degree of volatility comovement between stock market liquidity and informational efficiency across Asia, Europe, North-South America, Africa, and the Pacific Ocean over three decades. In particular, the authors analyze the extent of the time-varying nexus between different aspects of stock market liquidity and multifractal scaling properties of the stock return series across various regions and diversified market conditions. This study further investigates several factors altering the degree of dynamic conditional correlations (DCCs) between the efficiency and liquidity of the domestic stock markets.

The study measures five aspects of stock market liquidity – tightness, depth, breadth, immediacy, and adjusted immediacy. The authors evaluate the multifractal scaling properties of the stock return series to measure the level of stock market efficiency across the regions and diversified market conditions. The study uses the dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity framework to quantify the degree of volatility comovement between liquidity and efficiency over the period.

The study finds the presence of stronger volatility comovement between inefficiency and illiquidity due to the price impact characteristics of the stock markets irrespective of different regions and diversified market conditions. The extent of time-variation increased following the shock periods, indicating the significant role of the financial crisis in increasing the volatility comovement between inefficiency and illiquidity. The highest degree of time-varying correlation is observed in the developed stock markets of Northwestern and Northern Europe compared to the regional and emerging counterparts. On the other hand, weak DCCs are observed in the emerging stock markets of Europe.

The output of the present study assists investors in identifying diversification opportunities across the regions. Additionally, the study has significant implications for market regulators, aiding in predicting future troughs and peaks. The prediction, in turn, helps formulate capital market development plans during dynamic economic situations.

The purpose of this paper is to examine whether the emotions and sentiments related to the outcome of the sporting event influence the investment making process.

This study uses the data on stock prices of firms sponsoring the Indian premier league (IPL) teams and data on Indian stock market. The event-study frameworks along with autoregressive moving average and GMM regression are employed to empirical quantify the impacts of the performance of the IPL teams on the stock market returns of the sponsors’ stocks and response of Indian stock market to the outcome of T-20 international matches.

The paper finds that the team winning IPL title in a season has a positive impact on the returns of the sponsors’ stocks of a particular team, whereas loss of team has a negative impact on returns. The outcome of the cricket matches played by team India in the T-20 has a negligible effect on the Indian stock market.

The finding of the study implies the coexistence of emotions and rationality at different points in time and the relevance of adaptive market hypothesis to explain such time-varying behavior.

The present investigation is first of its kind to test whether the performance of the IPL cricket team can influence the stock returns of the sponsors. This research shows that sentiment related to sports event such as cricket influences the decision-making process and thus affects underlying stock prices.