The impact of the Athens Olympic Games on the Athens Stock Exchange

Abstract

PurposeThe purpose of this paper is to examine the relationship between the Athens Olympic Games and the Athens Stock Exchange (ASE). It aims to test: the effect of the Athens 2004 Olympics on the general index of the ASE; the impact of the Olympic Games 2004 to the sponsors' prices traded on the ASE (based on three National sponsors and one International sponsor); and the effect of the Greek Olympic Champions (winners' effect) on the course of the ASE.Design/methodology/approachThis paper captures financial time series characteristics by employing an AR(1)‐GARCH(1,1) model with generalized error distribution (GED). The paper uses daily closing prices for the General ASE index and four Grand Sponsors listed in the ASE (Coca‐Cola, Alpha Bank, OTE, and Cosmote) over the period 19 January 1996 to 20 December 2005.FindingsThe results show no effect on the general ASE index, but a positive effect on the OTE (Hellenic Telecommunications Organisation) index. Also, the results show a positive effect of Greek Medallists on the ASE index and two National sponsors, Alpha Bank and OTE.Research limitations/implicationsFurther research should investigate the impact of other mega sporting events (Mundial, European Championships) on the course of international stock markets using high‐frequency datasets and models.Practical implicationsThe findings are strongly recommended to financial managers and investors dealing with Greek stock indices.Originality/valueThe contribution of this paper is to examine the above hypotheses on the relationship between the Athens Olympic Games and the ASE using a large sample data, and a Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model with GED.