| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28356 |
| 来源ID | Working Paper 28356 |
| Do Global Pandemics Matter for Stock Prices? Lessons from the 1918 Spanish Flu | |
| Marco Del Angel; Caroline Fohlin; Marc D. Weidenmier | |
| 发表日期 | 2021-01-18 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study the impact of the 1918 Spanish Flu on U.S. stock prices. We use the death rate to control for the impact of the global pandemic and war news reported in the New York Times to capture the positive effects of the end of World War I on stock prices. Using a new weekly hand collected NYSE stock price index, we show that there is a -.73 correlation between the aggregate stock market and the death rate. Furthermore, vector autoregressions demonstrate that the death rate can explain up to 24 percent of the forecast error variance in the aggregate stock index from September 1918 until the end of the pandemic in March 1920. We also find that the flu had a significant, but varied impact on nine NYSE sectors. The empirical analysis indicates that pandemics can matter big time for stock prices. |
| 主题 | Financial Economics ; Financial Markets ; Health, Education, and Welfare ; Health ; History ; Financial History ; COVID-19 |
| URL | https://www.nber.org/papers/w28356 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586027 |
| 推荐引用方式 GB/T 7714 | Marco Del Angel,Caroline Fohlin,Marc D. Weidenmier. Do Global Pandemics Matter for Stock Prices? Lessons from the 1918 Spanish Flu. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28356.pdf（3446KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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