Title: Asian stock markets and the Severe Acute Respiratory Syndrome (SARS) epidemic: implications for health risk management

Authors: Rafiqul Bhuyan, Eric C. Lin, Paolo F. Ricci

Addresses: Department of Accounting and Finance, College of Business and Public Administration, California State University, San Bernardino, 5500 University Parkway, San Bernardino, CA 92407, USA. ' College of Business Administration, California State University, Sacramento, 6000 J Street Sacramento, CA 95819-6088, USA. ' Holy Names University, 3500 Mountain Blvd, Oakland, CA 94619, USA

Abstract: Time series statistical methods are used to study the financial impact of the Severe Acute Respiratory Syndrome (SARS) epidemic via the co-integration (interdependence) of time series of indexes of several Asian stock markets. We find that during and after the SARS influenza crisis, stock market returns of the infected countries exhibited significant increase in co-integrated relationship and dynamic co-movements, compared to the pre-SARS period. We also find that the effect of the SARS outbreak extended well beyond the Greater China region and influenced most Southeast Asian countries; our empirical results support the notion of |Globalisation of Commerce and Epidemics|. Furthermore, the findings have several implications for risk managers in the public health sector; we suggest a risk management model for preparing resources against future pandemics of infectious diseases, such as the A-H1N1 influenza.

Keywords: time series; co-integration error correction; epidemics; influenza; SARS epidemic; severe acute respiratory syndrome; Asian stock markets; health risks; risk management; stock market returns; globalisation; pandemics; infectious diseases.

DOI: 10.1504/IJENVH.2010.033033

International Journal of Environment and Health, 2010 Vol.4 No.1, pp.40 - 56

Published online: 06 May 2010 *

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