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Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask spreads. We also find some evidence that more flu implies lower stock returns. 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 driven by the incidence of flu nationally. We provide estimates of the potential impacts of a pandemic on equity returns

Listed author(s):
  • Yiuman Tse

    (University of Texas at San Antonio)

  • Brian C. McTier

    (University of Texas at San Antonio)

  • John K. Wald

    (University of Texas at San Antonio)

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    File URL: http://business.utsa.edu/wps/fin/0004FIN-257-2011.pdf
    File Function: Full text
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    Paper provided by College of Business, University of Texas at San Antonio in its series Working Papers with number 0004.

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    Length: 40 pages
    Date of creation:
    Handle: RePEc:tsa:wpaper:0004
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    1. Kathy Czyrnik & Linda Schmid Klein, 2004. "Who Benefits from Deregulating the Separation of Banking Activities? Differential Effects on Commercial Bank, Investment Bank, and Thrift Stock Returns," The Financial Review, Eastern Finance Association, vol. 39(2), pages 317-341, 05.
    2. Becher, David A., 2000. "The valuation effects of bank mergers," Journal of Corporate Finance, Elsevier, vol. 6(2), pages 189-214, July.
    3. Cornett, Marcia Millon & McNutt, Jamie John & Tehranian, Hassan, 2006. "Performance Changes around Bank Mergers: Revenue Enhancements versus Cost Reductions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 1013-1050, June.
    4. Cornett, Marcia Millon & Hovakimian, Gayane & Palia, Darius & Tehranian, Hassan, 2003. "The impact of the manager-shareholder conflict on acquiring bank returns," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 103-131, January.
    5. Hughes, Joseph P. & Lang, William W. & Mester, Loretta J. & Moon, Choon-Geol & Pagano, Michael S., 2003. "Do bankers sacrifice value to build empires? Managerial incentives, industry consolidation, and financial performance," Journal of Banking & Finance, Elsevier, vol. 27(3), pages 417-447, March.
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