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Title: The behaviour of share returns of football clubs: An econophysics approach
Authors: Ferreira, Paulo
Dionisio, Andreia
Loures, Luís
José Rato, Nunes
Keywords: DFA
Stock football index
Issue Date: 2017
Publisher: Elsevier
Citation: Ferreira, P., Nunes, J.M., Loures, L., Dionísio, A. (2017). “The behaviour of share returns of football clubs: An econophysics approach”. Physica A: Statistical Mechanics and its Applications, 472, 136-144 (
Abstract: Football is a sport that moves thousands of people and millions of euros. Since 1983, several clubs entered the stock markets with shares, and now twenty two clubs are listed in the Stoxx Football Index. In this study, we analyse the behaviour of the return rates of such shares, with Detrended Fluctuation Analysis and Detrended Cross-Correlation Analysis (and its correlation coefficient). With Detrended Fluctuation Analysis, we are able to observe that the shares of several clubs are far from the behaviour of a random walk, which is expected by the theory. Using Detrended Cross-Correlation Analysis, we calculate the cross correlations of clubs’ returns with national indexes and then with the Stoxx Football Index. Although almost all of them are positive, they do not seem to be strong.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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