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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

Author

Listed:
  • 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)

Abstract

No abstract is available for this item.

Suggested Citation

  • Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "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 sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    • Handle: RePEc:tsa:wpaper:0024fin
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    File URL: http://interim.business.utsa.edu/wps/fin/0004FIN-257-2011.pdf
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    More about this item

    Keywords

    stock markets; influenza; volume;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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