Abstract
The FIFA World Cup is a clean, globally synchronized attention shock. Yet the markets that now carry most of the world’s trading do not visibly respond to it in aggregate, and the headline evidence that they do turns out to be an artifact of how the effect is measured. Ehrmann and Jansen show that trades on a country’s national exchange roughly halve when its team plays, carried by a local trader who is also the viewer. Two questions sit conflated on that mechanism: whether the global attention shock moves aggregate trading in the continuous, global, derivative venues where no team maps to the marginal trader, and whether the local effect generalizes beyond its first exchange. We separate them. Our most transferable result is that two natural ways of measuring the effect manufacture it from no underlying response: a cross-market comovement decline (−0.086, p = 0.005) that vanishes once the set of open instruments is held fixed, and an all-session cash-equity volume increase (+19%) that is extended-hours sampling. Each reproduces the prior finding from a process with no match effect, the comovement case shown general by a Monte Carlo. On one-minute data for eleven instruments across five market structures over 2018 and 2022, the aggregate channel is bounded near zero: equivalence tests reject a 30% effect in every group (declines beyond about 9% excluded in crypto spot, 6% pooled), and an injected 30–45% decline is recovered with full power, so these are genuine nulls, not weak tests. The local channel we bound rather than refute. No mapped venue we can reach shows a decline and the daily home response is bounded below about 11%; but the exact Ehrmann–Jansen object, a minute-level own-exchange trade count whose trader is the viewer, is left untested for want of free foreign intraday data. The next-day loser effect is absent at daily frequency in 20 national indices and 16 currencies. We do not overturn the distraction effect in its own setting; the contribution is the bound on the aggregate channel, the evidence that it does not travel to the venues that now carry most trading, and the two mechanisms that show how readily it is mismeasured.
Keywords: investor attention, limited attention, distraction effect, FIFA World Cup, trading volume, market microstructure, cross-market comovement, high-frequency data, equivalence testing, bounded null, cryptocurrency markets, foreign exchange, equity markets, behavioral finance, measurement bias
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