Stock market reaction to food recalls: a GARCH application
How food recalls due to bacterial contamination affect the stock prices of two companies are examined using a version of the financial market model that accounts for Generalized Autoregressive Conditional Heteroscedasticity (GARCH) effects. GARCH methodology was necessary to uncover the time-varying volatility in the series and it contributed to more efficient econometric results. The initial food recall undertaken by the company is associated with reduced mean returns and higher volatility of the companies studied. Repeated recalls by the same company are not associated with strong reactions. Volatility spillovers across firms suggest potential industry-wide repercussions from bacterial contamination incidents.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 9 (2002)
Issue (Month): 15 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|