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Article
Do Stock Markets Catch the Flu?
Journal of Financial and Quantitative Analysis (2013)
  • Brian C. McTier, Washington State University Vancouver
  • Yiuman Tse, University of Missouri–St. Louis
  • John K. Wald, University of Texas at San Antonio
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.
Disciplines
Publication Date
June 1, 2013
DOI
10.1017/S0022109013000239
Citation Information
Brian C. McTier, Yiuman Tse and John K. Wald. "Do Stock Markets Catch the Flu?" Journal of Financial and Quantitative Analysis Vol. 48 Iss. 3 (2013) p. 979 - 1000
Available at: http://works.bepress.com/yiuman-tse/18/