"We find that football is indeed distracting, subtly impacting market depth, traded volumes and execution cost," the Citi analysts David Bieber and Kim Jensen wrote to clients on Tuesday, adding that the distractions manifested differently for different products.
Using data from this summer's World Cup and the one held in Brazil in 2014, Citi found that traded volumes could fall by as much as 50% during games, while the cost of executing trades increases sharply.
"We identify large falls in traded volumes during matches by up-to 50%, while market depth / liquidity is more robust with execution costs only increasing between 5-20%," the pair wrote.
Perhaps unsurprisingly, Citi found Europe to be affected more severely than the Americas.
"Given the larger following of football in Europe, this is no surprise," the analysts said. "In the US, the football distraction increases costs by only 4% while in European markets it is more than 10%."