TitleStock market response to the 2008 China milk scandal
NameGao, Chen (author), Jin, Yanhong (chair), Bhuyan, Sanjib (internal member), Pray, Carl E (internal member), Rutgers University, Graduate School - New Brunswick,
SubjectFood and Business Economics,
DescriptionFood safety has consistently drawn attention in domestic and even international markets, especially when severe food scare events occur. The overall objective of this thesis is to investigate the stock market response to the 2008 China milk scandal by employing an event study approach and a GARCH model to examine asymmetric impacts of the scandal on the level and volatility of stock prices of dairy companies and utilizing a random effects model to investigate how information uncertainty and media coverage attenuate or facilitate the impact of the scandal in different stock markets. A total of all eight relevant dairy companies traded in five stock markets are included for the analysis. I find supporting evidence on the asymmetric impacts as well as the impacts of information uncertainty and media coverage. Overall, the results suggest that firms listed in the overseas stock markets were more responsive to the scandal than those publically traded in China, but the former reacted slowly than the latter when the positive safety information occurred. Furthermore, I find that among the firms whose products were not found to be contaminated, media coverage contributed to the price rebound and even the price gain as it had a statistically significant, positive impact on the stock prices. This thesis provides policy relevance and implications to food safety in China and beyond China. The private sector may learn from this study as it suggests that firms traded in different stock markets react differently to food safety information and the market distinguishes between positive and negative food safety information. Furthermore, the regulatory agencies communicate with the public and the firms to mitigate the impact of food-scare events.
NoteIncludes bibliographical references
Noteby Chen Gao
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.