Beyond the final whistle: AFL grand final and retail investor trading

• AFL Grand Final reduces retail trading on ASX, confirming attention diversion. • Retail investor withdrawals during AFL week impair market liquidity and volatility. • Broker-level data enables precise retail trade identification across AFL Grand Final. • Stocks with high retail exposure show disproportionate market quality deterioration. This study investigates how the Australian Football League (AFL) Grand Final affects retail investor behavior and market quality in the Australian equity market. Using proprietary broker-level trading data from 2017-2023, we find retail trading activity declines significantly during the AFL week. This retail withdrawal creates pronounced but temporary market quality effects—reducing both volatility and liquidity. Our findings establish retail investors as crucial market participants and demonstrate how predictable attention shocks can create short-term distortions in financial markets. These findings have implications for market participants anticipating similar events and contribute to broader understanding of how investors’ heterogenous behavior influences market efficiency and price discovery.