Stock prices and geographic proximity of information: Evidence from the Ebola outbreak
Stock prices and geographic proximity of information: Evidence from the Ebola outbreak
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DOI：
10.1016/j.irfa.2017.12.004
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发表时间：
2017-12-20
影响因子：
8.2
通讯作者：
Marinč M
中科院分区：
文献类型：
--
作者：
Ichev R;Marinč M
行为金融学研究表明，投资者情绪影响投资决策，从而可能影响股票定价。本文研究了2014-2016年埃博拉疫情事件传播的信息的地理接近性与密集的媒体报道相结合是否影响了美国的股票价格。我们发现，埃博拉疫情事件对西非国家（WAC）业务暴露的公司股票的影响最强。这一结果表明，有关埃博拉疫情事件的信息与地理上更接近埃博拉疫情事件发源地和金融市场的公司更相关。研究结果还表明，对于规模较小、波动性较大的股票、特定行业的股票以及受到媒体强烈报道的股票，这种影响更为明显。事件效应之后还伴随着感知风险的上升，即埃博拉疫情发生后，隐含波动率增加。
Behavioral finance studies reveal that investor sentiment affects investment decisions and may therefore affect stock pricing. This paper examines whether the geographic proximity of information disseminated by the 2014–2016 Ebola outbreak events combined with intense media coverage affected stock prices in the U.S. We find that the Ebola outbreak event effect is the strongest for the stocks of companies with exposure of their operations to the West African countries (WAC) and the U.S. and for the events located in the WAC and the U.S. This result suggests that the information about Ebola outbreak events is more relevant for companies that are geographically closer to both the birthplace of the Ebola outbreak events and the financial markets. The results also show that the effect is more pronounced for small and more volatile stocks, stocks of specific industry, and for the stocks exposed to the intense media coverage. The event effect is also followed by the elevated perceived risk; that is, the implied volatility increases after the Ebola outbreak events.
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