Analysis of the relationship between investor interest, price, and trading volume of the xspor index and its components in time and frequency dimensions: Empirical evidence by wavelet method

This study aims to investigate the relationship and coherence between investor interest, price, and trading volume in the BIST XSPOR index and its constituents, both in terms of time and frequency dimensions. The density of variables is examined using continuous wavelet analysis, while the relationship between variables is explored through cross wavelet analysis, and the coherence between variables is assessed via wavelet coherence analysis. Incorporating investor interest through Google search trends, this study determines the association and coherence between price and trading volume, investor interest and stock price, as well as investor interest and stock trading volume, as revealed by analyses conducted on the XSPOR index and its constituents. This relationship is observed across short, medium, and long-term periods, particularly concerning the successes and failures of sports clubs. Within the scope of this study, the measures taken in response to the COVID-19 pandemic, which occurred during the study period (2010-2023), are shown to impact the relationship and coherence between the variables. The outcomes unveil a success/failure anomaly. Furthermore, the possibility of obtaining abnormal returns when making investment decisions based on sports-related successes and failures highlights the inefficiency of the market.