This paper assesses the impact of the severe acute respiratory syndrome (SARS)
on the stock market of China. Our results indicate that the Chinese stock market
reacts rapidly to the SARS epidemic. We provide strong empirical evidence that the
epidemic has an immediate impact on the pharmaceutical and tourism industries. In
particular, pharmaceutical companies are benefited from the outbreak of SARS,
while the tourism sector is adversely affected. Our results imply the existence of a
profitable trading rule during an epidemic.
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