Structured Abstract Design: AMIS 2017 submitters are invited to prepare a written 'mini-pitch' of their research paper by using the 6 core elements of Faff’s (2016) template tool, with a maximum total of 250 words. These abstracts will appear in the AMIS conference booklet.
Prizes: The University of Queensland is sponsoring 3 prizes of €200 each for best written abstracts conforming to the mini-pitch design below.
|Idea?||Identify the 'core' idea that drives the intellectual content of this research topic. If appropriate:
|Data?||Make a brief statement about the data/sampling used in the study. For example:
|Tools?||State the basic empirical framework and research design. Is it a regression model approach? Survey instrument design? Interview design?
|What's New?||What is really new about your study? Briefly state (up to) three key findings of the study.
|So What?||Why is it important to know the answer? How will major decisions/behaviour/activity etc be influenced by the outcome of this research? What is the economic significance of the findings?
|Contribution?||What is the primary essence of the contribution to the relevant research literature?
Do Stock Markets Catch the Flu?
Presenting Author: McTier, B., Washington State University
Idea: To examine the impacts of influenza on the NYSE using different stock market performance measures.
Data: Time Series for national effects and Panel data for international flu effects Data Frequency: Weekly; Country: US. Sources: Publicly available e.g. Centers for Disease Control and Prevention (CDC), Google Flu Trends, TAQ data. Variables: Stock returns, Bid-ask spreads, Market Volume, New York flu cases, US flu cases, Global flue cases, Volatility, SAD onset and Dummy variables of Cloud cover.
Tools: Regression Analysis (Index Portfolio regression and Panel regression). Software: Being regression analysis, software like SPSS, EVIEWS, STATA are capable of estimating the model.
What’s new: Three key findings: (1) Influenza negatively affects the NYSE in terms of Dollar volume, number of trades, turnover. (2) Increase in flu incidence is related to the lower volatility but high Bid-Ask spreads due to less information production. (3) Volume and volatility effects are more closely tied to New York flu incidence (local), with bid-ask spreads and returns more strongly associated with the US (national) flu incidence whereas for international markets flu is negatively related to trading activity and returns.
So what: Investors are able to predict the stock market performance w.r.t incidence of influenza both nationally or internationally. The inclusion of cloud-cover in the model also enables investors to predict the performance of the markets.
Contribution: Providing a mechanism to capture the effects of influenza incidence (local, national and international) on the stock market using different measures of performance.
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