A recent outbreak of bird flu or avian influenza (AI), an especially highly pathogenic
strain (HPAI) of H5N1, started in Hong Kong in January 2003 and caused 159 human
deaths in Asia, Africa and Europe through early 2007. In addition, this outbreak resulted
in millions of slaughtered birds and banned international trade of poultry meat in the
infected countries. Such events harmed the poultry, tourism, and other related industries
in the infected countries and changed the world poultry trade flow. Even in some
uninfected countries, related industries were negatively affected. This study investigates
the impact of bird flu outbreaks as manifested in financial markets within the US and
Japan.
The first essay explores how the avian influenza (AI) outbreaks impacted the
security values of poultry-related firms. Using partial equilibrium analysis, this study
infers that within a country AI outbreaks drop stock prices of poultry meat producers and
raise stock prices of poultry food producers. Simultaneously, we infer that AI outbreaks
in other poultry exporting countries raise stock prices of poultry meat producers and
drop stock prices of poultry food producers. The empirical findings support our model results. Recent developments in time series method, directed graphs and search methods
of cointegration rank are applied in this study.
The second essay examines whether avian influenza outbreaks cause structural
breaks in a model of their prices. It employs the dynamic programming algorithm and
the reduced regression method for a cointegrated vector autoregressive (VAR) model to
compute the break dates for the data sample. This research then compares the long run
relation, and the short run relation and contemporaneous relation. The model estimations in
these three sub-periods find these three sub-samples are significantly different. The breaks
were caused by the invasion of Iraq on March 2003 and the 20 Bovine Spongiform
Encephalopathy (BSE) induced ban of Canadian live cattle imports to the US on 03
March 2005, not by avian influenza outbreaks in early 2004.
The third essay explores the effects of the avian influenza announcement in
Japan on the prices of agricultural commodity futures contracts traded in Japan. Both the
VAR model with asymmetric generalized autoregressive conditional heteroskedastic
(GARCH) terms and the event study methods were used to examine whether avian
influenza outbreaks significantly affected these markets. Our findings point out that the
avian influenza outbreak only impacted the egg futures contract.
These three essays found that outbreaks of avian influenza have significant
impact on poultry-related stock prices and futures markets. The examined impacts
changed the movement of those financial equity prices in the short run, but not in the
long run. Research showed investors and poultry-related producers still encounter huge
financial risk and loss.
| Identifer | oai:union.ndltd.org:tamu.edu/oai:repository.tamu.edu:1969.1/ETD-TAMU-2009-12-7171 |
| Date | 2009 December 1900 |
| Creators | Huang, Wei |
| Contributors | McCarl, Bruce A., Bessler, David |
| Source Sets | Texas A and M University |
| Language | en_US |
| Detected Language | English |
| Type | Book, Thesis, Electronic Dissertation, text |
| Format | application/pdf |
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