전염병 전후의 항공회사 주가변동성 - A(H1N1), MERS-CoV, COVID-19를 전후로 -

Abstract

Infectious disease can affect the body and society because of features that can transmit to other people. The COVID-19 virus occurred in 2019, and this virus spread like a pandemic in the world. By the way, not only the COVID-19 virus but also other viruses had existed in the past. Also, both home and abroad were affected by these viruses. Therefore, This research confirms that airline stock price volatilities are affected by infectious diseases with novel influenza(A(H1N1)), the Middle East Respiratory Syndrome Coronavirus(MERSC, MERS-Cov), and the COVID-19. Precisely, KOSPI index volatility as stock market volatility and airline stock price volatilities calculated as E-GARCH model suggested by Nelson(1991) as before and after 150 trading days from each infectious disease occurred to date. This research confirms whether airline stock price volatilities increase compared to KOSPI index volatility after an infectious disease by the Difference in Difference(DiD) method. The Difference in Difference(DiD) method confirms the difference between the treatment and the control group as independent variables. So, airline stock price volatilities set the treatment group, and KOSPI index volatility as stock market volatility assigned the control group. This method confirms the difference between the treatment group and the control group from infectious disease by regression. As a result, this paper finds three empirical test results. First, for 30 trading days period during novel influenza(A(H1N1)) from Korea in 2009, airline stock price volatilities considering KOSPI index volatility were higher than for 30 trading days period volatilities before novel influenza (A(H1N1)) with statistical significance, but there are not significant in other periods test by the DiD method. Second, for 60 trading days period during the Middle East Respiratory Syndrome Coronavirus(MERSC, MERS-Cov) from Korea in 2015, airline stock price volatilities controlling KOSPI index volatility were higher than for 60 trading days period volatilities before the Middle East Respiratory Syndrome Coronavirus (MERSC, MERS-Cov) with statistical significance, but there are not significant in other periods test by the DiD method. Third, for 90, 120, 150 trading days period during the COVID-19 from Korea in 2020, airline stock price volatilities considering KOSPI index volatility were higher than for 90, 120, 150 trading days period volatilities before the COVID-19 with statistical significance, but there are not significant in other periods test by the DiD method. These results include the implication that investors about airline stocks or pre investors interested in airline stocks recognize that airline stocks are risky categories compared to other stocks. When novel influenza(A(H1N1)) and the Middle East Respiratory Syndrome Coronavirus(MERSC, MERS-Cov) had previously occurred, airline stock price volatilities controlled KOSPI index volatility as stock market are statistical significance after early and middle term. However, when the COVID-19 has occurred, airline stock price volatilities controlling KOSPI index volatility as stock market volatility are significance after the middle period. Therefore, the COVID-19 results may have attributed to some of the previous learning processes for infectious diseases.