Replication files for "A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks"
Xiong et al. (2021) use data on daily stock returns from 25 major publicly listed firms from China and eight major pork-exporting countries to provide the first systematic analysis of the firm-level economic impacts of the 2018 African Swine Fever (ASF) outbreaks. We find that, on average, announcements of ASF outbreaks have led to positive and significant stock returns for both Chinese and international hog firms. China’s hog firms, on average, enjoyed 10%–40% cumulative abnormal returns during the 2019 Chinese Spring Festival, when investors saw signs of a near-20% inventory loss during a peak demand season for pork. Several databases are necessary to conduct the analyses. ASF announcements in China from August 2018 to September 2019 came from China Ministry of Agriculture and Rural Affairs. The ASF announcements detailed the release date, the county-level location and specific site (i.e., pig farm, slaughterhouse, or transport vehicle) of event detection, the number of hogs in inventory, and the number of infected and dead pigs. Daily market indices and stock price data for China’s top 10 publicly listed hog firms and 15 foreign public listed hog firms from eight countries were downloaded from Yahoo Finance. The daily firm-level stock price data contain important information that evaluates firms’ performance in the market. In addition to economic drivers, stock prices often also reflect the effect of non-economic shocks. The ASF announcements dataset put together in Xiong et al. (2021) allows researchers to explore different aspects of the economic consequences as a result of the ASF outbreaks in China other than for the financial market. The daily stock price data for Chinese and international hog firms allow others to study the effect of any economic and non-economic events that also occurred during the same sample period that might impact stock price movements.
Steps to reproduce
Researchers interested in replicating the results in Xiong et al. (2021) should follow the steps outlined in the readme file.