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Modern health pandemic crises and stock price crash risk

Author

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  • Ho, Kung-Cheng
  • Yao, Chia-ling
  • Zhao, Chenfang
  • Pan, Zikui

Abstract

This study investigates the impact of modern health pandemics on the firm’s stock price crash risk. Further, the study explores this problem using a comprehensive cross-country sample of 265,983 firm–year​ observations, collected from 39 countries during the five modern health crises: SARS (2003), H1N1 (2009), MERS (2012), Ebola (2014), and Zika (2016). Empirically, this study observes that the outbreak of pandemic crises curbs the crash risk of stock price. The more stable country is protected by the regulatory system, and the decrease in crash risk is smaller during the pandemic. The conclusions will enable the investors to trade with greater rationality and objectivity during the current pandemic situation caused by COVID-19. In addition, these conclusions make regulators confident that establishing a sound regulatory and legal system and maintaining national stability effectively reduce the impact of a sudden public crisis on the capital market.

Suggested Citation

  • Ho, Kung-Cheng & Yao, Chia-ling & Zhao, Chenfang & Pan, Zikui, 2022. "Modern health pandemic crises and stock price crash risk," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 448-463.
    • Handle: RePEc:eee:ecanpo:v:74:y:2022:i:c:p:448-463
    DOI: 10.1016/j.eap.2022.03.010
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    3. Yang, Song, 2022. "Are private equity and venture capital helping small and medium-sized enterprises during the COVID-19 pandemic? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 1-14.

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    More about this item

    Keywords

    Modern health pandemics crises; Crash risk; Regulatory protection; National stability;
    All these keywords.

    JEL classification:

    • F39 - International Economics - - International Finance - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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