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

Yiuman Tse, Brian McTier and John Wald
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Yiuman Tse: University of Texas at San Antonio
Brian McTier: University of Texas at San Antonio
John Wald: University of Texas at San Antonio

No 4, Working Papers from College of Business, University of Texas at San Antonio

Keywords: stock markets; influenza; volume (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2011-02-11
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