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Do Stock Markets Catch the Flu?

Published online by Cambridge University Press:  24 May 2013

Brian C. McTier ,
Yiuman Tse  and
John K. Wald
Brian C. McTier
Affiliation:
[email protected], College of Business, Washington State University Vancouver, PO Box 644750, Pullman, WA 99164
Yiuman Tse
Affiliation:
[email protected], College of Business Administration, University of Missouri-St. Louis, 1 University Blvd, St. Louis, MO 63121
John K. Wald
Affiliation:
[email protected], College of Business, University of Texas at San Antonio, 1 UTSA Cir, San Antonio, TX 78249, Wald
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Abstract

We examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.

Type
Research Articles
Information
Journal of Financial and Quantitative Analysis , Volume 48 , Issue 3 , June 2013 , pp. 979 - 1000
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2013 

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