In 2003, the infectious disease known as Severe Acute Respiratory Syndrome (SARS) struck
several countries of Southeast Asia and resulted in social and economic disruption, especially in
Taiwan, China, Hong Kong, and Singapore. The first case of SARS was found in Guangdong Province,
Canton after a Cantonese used the meat of a civet, a small cat-like animal, in a meal. Subsequently, the
SARS virus spread from Canton Province to Shanghai, and then to the whole of China. Later, SARS
reached Hong Kong and then spread to Singapore and Taiwan. This study intends to apply time series
methods, such as Grangers’ causality test, Sam’s impulse response analysis and forecast error variance
decomposition, to analyze the dynamic movement of composite indexes of five stock markets in the
SARS infected areas. The results show that, during the SARS period, the paths of the movement of
stock market indices on the countries in the infected areas look like the paths of SARS transmission and
circulation.
Relation:
Asian Journal of Management and Humanity Sciences 1(2):236-251
