This Time is Indeed Different: A Study on Global Market Reactions to Public Health Crisis

Abstract

This paper studies the differences in stock market reaction to the same kind of disease-related news by analyzing abnormal returns of global stock markets during Public Health Risk Emergency of International Concern (PHEIC) announcements. Drawing the data from 26 stock market indices over the period from 22 April 2008 to 12 March 2020, we compare stock market reactions to all six PHEIC announcements made by World Health Organization since 2009. Although the PHEIC announcements can be categorized as the same type of event, we found no consistent patterns in the market reactions to PHEIC announcements. The markets did not show significant reactions in a 30-day event window, which suggests a relatively low economic impact of the diseases on a global scale, except for Covid-19. Among all diseases included in our study, only Covid-19 had a significant negative effect on stock markets at least lasting 30 days.

Keywords: Market Reaction; Pandemic; COVID-19; Public Health Emergency Of International Concern

JEL Classification: G15, G41