Internet Appendix for Do Stock Markets Catch the Flu? Brian C. McTier, Yiuman Tse, and John K. Wald JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol. 48, No. 3, June 2013 TABLE A.1 Aggregated and Regional Summary Data This table provides summary statistics in weekly frequencies on the aggregated and regional variables used in this study. Both raw (as collected) and transformed variables are reported. The regions are the nine census regions for which the CDC reports flu data separately. Panel A reports summary statistics for the stock market variables. The sample is drawn from equal-weighted U.S. regional index portfolios formed by aggregating weekly individual NYSE traded stocks over the nine regions from 1998 through 2006. Return is the weekly CRSP cum dividend percent return. Turnover is 100 log ( 1 Volume / Shares) +, where Volume refers to the number of shares traded in the given week and Shares equals the average number of shares outstanding during the week. Turnover is the first difference of Turnover. DollarVolume is the weekly dollar volume and NumTrades is the weekly number of trades. LogDVol and LogTrades are the first differences of the logarithm of DollarVolume and the logarithm of NumTrades, respectively. Panel B reports summary statistics for the regional flu variables. The flu variables are the number of flu cases that test positive in a given week. HRegionFlu is the number of positive cases in the given CDC region; NonHRegionFlu is the number of positive cases in all U.S. regions except the region where the company is headquartered. LogHRegionFlu and LogNonHRegionFlu are the percentage change in the corresponding raw flu variables in the subsequent week. This is measured as the change in the log of one plus the raw flu variable. 1
Panel A. Aggregated Market Data TABLE A.1 (continued) All Reg. Reg. 1 Reg. 2 Reg. 3 Reg. 4 Reg. 5 Reg. 6 Reg. 7 Reg. 8 Reg. 9 Return Obs. 468 468 468 468 468 468 468 468 468 468 Mean 0.243 0.238 0.241 0.212 0.298 0.280 0.280 0.343 0.326 0.305 Median 0.372 0.389 0.384 0.288 0.370 0.502 0.360 0.549 0.397 0.440 SD 2.013 1.936 1.719 1.717 2.153 2.113 2.393 2.697 2.342 2.230 Min. -12.840-11.330-11.790-11.000-11.410-11.920-14.450-14.370-11.610-11.790 Max. 8.613 8.519 7.154 6.969 10.230 8.645 10.760 12.630 9.877 7.248 Turnover Obs. 468 468 468 468 468 468 468 468 468 468 Mean 1.559 1.353 1.417 1.435 1.535 1.390 1.859 1.852 2.214 1.907 Median 1.581 1.323 1.430 1.448 1.537 1.391 1.846 1.865 2.181 1.914 SD 0.301 0.319 0.301 0.314 0.323 0.338 0.414 0.385 0.525 0.398 Min. 0.288 0.199 0.292 0.276 0.239 0.224 0.341 0.318 0.456 0.387 Max. 2.941 3.113 3.050 2.740 2.893 2.907 3.605 3.370 4.398 3.774 Turnover Obs. 467 467 467 467 467 467 467 467 467 467 Mean -0.002-0.001-0.001-0.001-0.002-0.001-0.002-0.002-0.002-0.002 Median -0.006 0.005-0.005-0.015 0.005 0.009-0.015-0.022-0.009-0.012 SD 0.317 0.310 0.308 0.307 0.339 0.304 0.448 0.393 0.512 0.421 Min. -1.109-0.939-0.944-0.952-1.179-0.990-1.344-1.049-2.076-1.666 Max. 2.508 2.769 2.333 2.073 2.224 2.556 2.353 2.726 2.767 3.352 DollarVolume (billion) Obs. 468 468 468 468 468 468 468 468 468 468 Mean 0.067 0.065 0.080 0.058 0.081 0.077 0.054 0.100 0.061 0.072 Median 0.068 0.062 0.082 0.057 0.082 0.079 0.052 0.093 0.060 0.074 SD 0.016 0.021 0.019 0.014 0.025 0.021 0.018 0.037 0.026 0.021 Min. 0.014 0.010 0.017 0.012 0.017 0.015 0.009 0.017 0.015 0.013 Max. 0.110 0.149 0.153 0.098 0.149 0.150 0.111 0.227 0.143 0.122 LogDVol Obs. 467 467 467 467 467 467 467 467 467 467 Mean -0.002-0.002-0.002-0.002-0.002-0.002-0.001-0.002 0.000-0.001 Median -0.004 0.000-0.006-0.009 0.009 0.002-0.012-0.008-0.008-0.009 SD 0.239 0.254 0.253 0.249 0.251 0.249 0.277 0.251 0.258 0.245 Min. -1.431-1.310-1.465-1.376-1.508-1.376-1.562-1.506-1.230-1.481 Max. 2.030 2.124 2.121 1.933 1.963 2.063 1.943 2.138 1.643 2.065 NumTrades (thousand) Obs. 468 468 468 468 468 468 468 468 468 468 Mean 1.776 1.564 1.688 1.655 2.305 2.083 2.082 2.719 2.087 2.204 Median 1.640 1.673 1.629 1.588 2.234 2.012 1.860 2.368 1.781 2.182 SD 1.087 0.799 0.916 0.999 1.449 1.282 1.388 1.910 1.523 1.287 Min. 0.293 0.300 0.299 0.279 0.389 0.355 0.316 0.383 0.281 0.371 Max. 4.472 3.134 3.954 4.014 5.913 5.065 5.366 8.137 5.977 4.768 2
TABLE A.1 (continued) All Reg. Reg. 1 Reg. 2 Reg. 3 Reg. 4 Reg. 5 Reg. 6 Reg. 7 Reg. 8 Reg. 9 LogTrades Obs. 467 467 467 467 467 467 467 467 467 467 Mean 0.002 0.001 0.002 0.002 0.002 0.002 0.002 0.002 0.003 0.002 Median 0.001-0.001 0.002 0.003 0.003 0.005-0.002-0.002-0.003 0.002 SD 0.189 0.190 0.189 0.193 0.191 0.194 0.200 0.194 0.192 0.192 Min. -1.358-1.363-1.345-1.351-1.338-1.360-1.394-1.418-1.307-1.359 Max. 1.627 1.630 1.624 1.593 1.563 1.648 1.636 1.671 1.558 1.604 Panel B. Regional Flu Data HRegion Flu (hundred) Obs. 4,212 468 468 468 468 468 468 468 468 468 Mean 0.350 0.182 0.290 0.258 0.564 0.590 0.089 0.525 0.340 0.314 Median 0.014 0.006 0.014 0.010 0.010 0.034 0.000 0.020 0.017 0.057 SD 0.411 0.411 0.571 0.529 1.244 1.289 0.199 1.107 0.789 0.539 Min. 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Max. 11.240 3.016 3.219 4.013 8.391 11.240 1.490 6.614 7.247 3.739 LogHRegionFlu Obs. 4,212 468 468 468 468 468 468 468 468 468 Mean -0.001-0.001-0.004-0.002-0.002 0.000 0.002-0.000-0.002-0.004 Median 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SD 0.439 0.439 0.519 0.429 0.479 0.491 0.497 0.497 0.440 0.454 Min. -2.974-2.065-2.015-1.904-2.816-2.259-2.565-2.331-1.665-2.974 Max. 2.639 1.488 2.197 1.386 1.840 1.565 2.639 1.807 1.879 1.665 NonHRegion Flu (hundred) Obs. 4,212 468 468 468 468 468 468 468 468 468 Mean 2.897 3.066 2.957 2.989 2.683 2.657 3.158 2.722 2.907 2.934 Median 0.230 0.256 0.251 0.241 0.236 0.230 0.246 0.209 0.221 0.187 SD 5.636 5.636 5.485 5.517 4.973 4.869 5.822 5.102 5.359 5.505 Min. 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Max. 37.430 36.000 35.710 34.910 33.640 27.680 37.430 34.940 35.890 35.190 LogNonHRegionFlu Obs. 4,212 468 468 468 468 468 468 468 468 468 Mean -0.001-0.001-0.001-0.001-0.001-0.002-0.002-0.002-0.001-0.001 Median 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 SD 0.480 0.480 0.473 0.478 0.467 0.485 0.480 0.478 0.487 0.496 Min. -4.157-4.145-4.157-4.063-3.874-4.013-4.157-4.000-4.087-3.813 Max. 2.629 2.629 2.398 2.576 2.331 2.629 2.629 2.629 2.520 2.259 3
TABLE A.2 Google Summary Data This table provides summary statistics in weekly frequencies on the regional stock market and Google Flu Trends variables used in this study. Each panel reports data for a subset of the countries, cities, or regions. Both raw (as collected) and transformed variables are reported. Flu and stock market data are reported for the following countries: Argentina MERVAL, Australia S&P ASX200, Austria Austrian Traded, Belgium BEL20, Brazil - IBOVESPA, Bulgaria - SOFIX, Canada S&P TSX Composite, Chile - IPSA, France All Tradable, Germany - DAX, Hungary Hungarian Traded, Japan - Topix, Mexico - IPC, Netherlands AEX General, New Zealand NZX All, Norway OSE All Shares, Peru - IGBVL, Poland - WIG, Russia - MICEX, South Africa JSE Africa, Spain Madrid Index, Sweden OMX Stockholm All Share, Switzerland Swiss Market Index, Ukraine - PFTS, and the United States NYSE Index. Flu and stock market data are also reported for cities/regions: Buenos Aries, Argentina MERVAL; New South Wales, Australia S&P ASX200; Vienna, Austria Austrian Traded Index; Brussels, Belgium BEL20; Sao Paulo, Brazil IBOVESPA; Ontario, Canada S&P TSX Composite; Ile de France, France All Tradable Index; Hessen, Germany DAX; Distrito Federal, Mexico IPC; North Holland, Netherlands AEX General; Lima, Peru IGBVL; Gauteng, South Africa JSE Africa; Madrid, Spain Madrid Index; Zurich, Switzerland Swiss Market Index; and New York City, United States NYSE Index. The upper portion of each panel, labeled Equity Index Data, reports summary statistics for the international market variables. Share Volume is the total index constituent shares traded; Dollar Volume is the total value of the constituent index shares traded; and Return is the weekly cum dividend return. LogSVol and LogDVol are the weekly percentage change in Share Volume and Dollar Volume, respectively, measured as the weekly change in the logarithm of the raw variable. The lower portion of each panel, labeled Google Flu Data, reports summary statistics for the estimated incidence of flu from Google Flu Trends where GoogleFlu is the estimated flu incidence. LogGoogleFlu is defined as the weekly percentage change in GoogleFlu measured as the first difference of the log of GoogleFlu. 4
TABLE A.2 (continued) Panel A. Argentina - Buenos Aires Equity Index Data: Argentina Australia Austria Belgium Brazil Brussels Buenos Aires Volume (billion) Obs. 416 294 411 411 416 410 416 Mean 0.012 0.854 0.005 0.018 7.907 0.018 0.012 Median 0.010 0.824 0.005 0.014 0.809 0.014 0.010 SD 0.008 0.271 0.003 0.013 9.261 0.013 0.008 Min. 0.003 0.245 0.001 0.002 0.083 0.002 0.003 Max. 0.068 2.245 0.019 0.075 38.580 0.075 0.068 LogSVol Obs. 416 294 411 411 416 410 416 Mean -0.004 0.003 0.004 0.004-0.012 0.004-0.004 Median -0.011 0.003 0.008 0.002-0.000 0.001-0.011 SD 0.349 0.236 0.299 0.295 0.266 0.296 0.349 Min. -1.374-1.372-1.181-1.398-1.546-1.398-1.374 Max. 0.894 0.679 1.613 1.161 0.952 1.161 0.894 Dollar Volume (million) Obs. 416 294 411 411 416 410 416 Mean 0.050 5.016 0.164 0.392 2.902 0.393 0.050 Median 0.048 5.026 0.139 0.379 3.029 0.380 0.048 SD 0.021 1.200 0.089 0.160 1.639 0.160 0.021 Min. 0.014 1.365 0.022 0.054 0.496 0.054 0.014 Max. 0.128 9.311 0.501 1.092 7.101 1.092 0.128 LogDVol Obs. 416 294 411 411 416 410 416 Mean 0.001 0.002 0.002 0.003 0.004 0.003 0.001 Median -0.020 0.003-0.004 0.003-0.001 0.003-0.020 SD 0.305 0.247 0.279 0.272 0.196 0.273 0.305 Min. -1.113-1.466-1.107-1.260-0.595-1.260-1.113 Max. 1.023 0.639 1.141 1.135 0.694 1.135 1.023 Return (%) Obs. 416 294 411 411 416 410 416 Mean 0.433 0.100 0.217 0.108 0.383 0.106 0.433 Median 0.782 0.460 0.648 0.383 0.704 0.381 0.782 SD 4.264 2.699 3.893 2.905 3.930 2.909 4.264 Min. -22.450-11.800-17.340-12.930-18.980-12.930-22.450 Max. 25.480 11.100 27.410 17.660 20.570 17.660 25.480 Google Flu Data: Google Flu (hundred): Obs. 416 294 411 411 416 410 416 Mean 1.630 3.992 7.435 1.088 2.302 0.575 1.664 Median 1.531 2.767 6.691 0.620 2.305 0.298 1.536 SD 0.706 4.081 3.407 1.519 0.637 0.900 0.783 Min. 0.611 0.541 2.973 0.070 1.090 0.040 0.554 Max. 4.373 27.310 25.480 10.430 4.320 6.466 4.806 LogGoogleFlu: Obs. 416 294 411 411 416 410 416 Mean -0.001 0.002-0.002-0.004-0.001-0.005-0.001 Median 0.000 0.009-0.007-0.012-0.004-0.033-0.008 SD 0.093 0.160 0.101 0.267 0.071 0.291 0.104 Min. -0.356-0.435-0.318-0.962-0.183-1.205-0.346 Max. 0.397 0.469 0.375 0.960 0.249 1.245 0.321 5
TABLE A.2 (continued) Panel B. Bulgaria - Gauteng Bulgaria Canada Chile Distrito Federal France Gauteng Equity Index Data: Volume (billion) Obs. 240 411 416 411 411 291 Mean 0.001 0.187 0.488 0.136 0.205 0.193 Median 0.000 0.185 0.431 0.134 0.196 0.193 SD 0.003 0.055 0.239 0.052 0.056 0.045 Min. 0.000 0.043 0.072 0.028 0.049 0.043 Max. 0.052 0.432 1.766 0.351 0.456 0.333 LogSVol Obs. 233 411 416 411 411 291 Mean 0.013 0.001 0.001 0.002 0.001 0.001 Median -0.016 0.001-0.000 0.003-0.006 0.018 SD 1.114 0.226 0.472 0.305 0.273 0.254 Min. -5.658-1.024-1.701-1.164-1.168-1.259 Max. 4.909 1.089 1.507 1.269 1.126 0.803 Dollar Volume (million) Obs. 240 411 340 411 411 291 Mean 0.006 4.452 60.700 3.662 5.036 10.880 Median 0.001 4.441 56.700 3.661 4.432 10.880 SD 0.037 1.421 24.985 1.557 1.812 2.561 Min. 0.000 1.016 18.900 0.459 1.145 2.053 Max. 0.561 11.840 162.000 8.956 12.970 20.330 LogDVol Obs. 234 411 339 411 411 291 Mean -0.000 0.002 0.001 0.003 0.001 0.002 Median -0.051-0.002 0.019 0.002-0.005-0.000 SD 0.971 0.228 0.317 0.310 0.255 0.268 Min. -4.480-1.058-1.255-1.720-1.258-1.463 Max. 3.616 1.061 0.973 1.345 1.107 1.057 Return (%) Obs. 349 411 416 411 411 291 Mean -0.056 0.195 0.297 0.437 0.097 0.263 Median 0.000 0.552 0.470 0.684 0.323 0.300 SD 4.007 2.542 2.577 3.110 2.831 3.286 Min. -29.370-16.300-14.820-16.090-12.130-12.780 Max. 17.680 10.690 9.930 15.580 18.260 16.810 Google Flu Data: Google Flu (hundred): Obs. 349 411 416 411 411 291 Mean 7.133 18.100 0.097 10.890 0.873 26.710 Median 6.379 16.270 0.042 9.807 0.226 24.760 SD 4.373 12.086 0.210 3.977 1.612 7.854 Min. 1.137 2.004 0.010 5.411 0.020 14.800 Max. 34.670 96.550 2.143 27.530 10.590 53.770 LogGoogleFlu: Obs. 349 411 416 411 411 291 Mean -0.005-0.003 0.003-0.000-0.005 0.001 Median -0.013-0.008 0.000-0.003-0.012-0.004 SD 0.125 0.127 0.248 0.086 0.302 0.093 Min. -0.432-0.485-0.998-0.355-0.986-0.232 Max. 0.508 0.409 0.728 0.320 0.972 0.268 6
TABLE A.2 (continued) Panel C. Germany - Lima Equity Index Data: Germany Hessen Hungary Ile de France Japan Lima Volume (billion) Obs. 411 410 353 411 407 385 Mean 0.126 0.126 0.004 0.205 1.896 0.009 Median 0.116 0.116 0.004 0.196 1.878 0.007 SD 0.043 0.043 0.002 0.056 0.474 0.013 Min. 0.031 0.031 0.001 0.049 0.897 0.001 Max. 0.360 0.360 0.013 0.456 4.592 0.175 LogSVol Obs. 411 410 353 411 407 385 Mean 0.002 0.002 0.002 0.001 0.001 0.001 Median -0.005-0.005 0.006-0.006-0.005-0.041 SD 0.262 0.262 0.383 0.273 0.149 0.669 Min. -1.181-1.181-1.412-1.168-0.490-3.437 Max. 1.082 1.082 1.209 1.126 0.703 2.950 Dollar Volume (million) Obs. 411 410 353 411 407 385 Mean 4.461 4.464 0.112 5.036 1,795.000 0.037 Median 3.784 3.787 0.099 4.432 1,540.000 0.027 SD 2.035 2.037 0.053 1.812 683.298 0.036 Min. 0.954 0.954 0.020 1.145 648.600 0.004 Max. 14.090 14.090 0.576 12.970 3,934.000 0.309 LogDVol Obs. 411 410 353 411 407 385 Mean 0.000 0.000 0.000 0.001 0.000 0.005 Median -0.004-0.004-0.014-0.005 0.005 0.008 SD 0.260 0.261 0.356 0.255 0.149 0.624 Min. -1.233-1.233-1.190-1.258-0.716-2.450 Max. 1.140 1.140 1.379 1.107 0.657 2.714 Return (%) Obs. 411 410 353 411 407 416 Mean 0.134 0.131 0.207 0.097-0.001 0.665 Median 0.477 0.475 0.745 0.323 0.198 0.718 SD 2.827 2.830 5.643 2.831 2.950 4.607 Min. -12.890-12.890-32.280-12.130-18.040-23.260 Max. 9.425 9.425 30.890 18.260 16.160 39.990 Google Flu Data: Google Flu (hundred): Obs. 411 410 353 411 407 416 Mean 8.217 8.239 0.902 0.578 1.520 2.474 Median 7.916 7.864 0.541 0.151 0.237 2.361 SD 4.005 4.145 0.971 1.084 2.737 0.857 Min. 2.570 2.307 0.183 0.010 0.010 0.920 Max. 24.470 24.150 5.910 9.100 14.800 6.133 LogGoogleFlu: Obs. 411 410 353 411 407 416 Mean -0.003-0.003-0.001-0.005-0.003-0.003 Median -0.004-0.011-0.013 0.000 0.000-0.003 SD 0.106 0.122 0.181 0.314 0.303 0.085 Min. -0.333-0.409-0.536-0.954-0.766-0.241 Max. 0.334 0.402 0.866 1.149 0.846 0.308 7
TABLE A.2 (continued) Panel D. Madrid - North Holland Equity Index Data: Madrid Mexico Netherlands New S Wales New York City New Zealand North Holland Volume (billion) Obs. 411 411 410 294 411 294 405 Mean 0.353 0.136 0.120 0.854 1.347 0.033 0.121 Median 0.351 0.134 0.114 0.824 1.378 0.032 0.114 SD 0.115 0.052 0.036 0.271 0.281 0.009 0.036 Min. 0.097 0.028 0.024 0.245 0.494 0.011 0.024 Max. 0.726 0.351 0.280 2.245 2.383 0.082 0.280 LogSVol Obs. 411 411 410 294 411 294 405 Mean 0.001 0.002-0.000 0.003-0.000 0.001 0.000 Median 0.017 0.003-0.004 0.003-0.002-0.005-0.004 SD 0.245 0.305 0.295 0.236 0.181 0.309 0.296 Min. -0.909-1.164-1.319-1.372-0.957-1.062-1.319 Max. 0.715 1.269 1.383 0.679 0.733 1.259 1.383 Dollar Volume (million) Obs. 411 411 410 294 411 294 405 Mean 3.986 3.662 2.045 5.016 44.530 0.089 2.050 Median 3.719 3.661 1.801 5.026 44.350 0.084 1.807 SD 1.568 1.557 0.873 1.200 14.124 0.033 0.877 Min. 1.100 0.459 0.351 1.365 15.030 0.017 0.351 Max. 9.712 8.956 6.479 9.311 94.380 0.212 6.479 LogDVol Obs. 411 411 410 294 411 294 405 Mean 0.000 0.003-0.001 0.002-0.000-0.000-0.000 Median 0.000 0.002-0.007 0.003-0.001 0.005-0.007 SD 0.264 0.310 0.280 0.247 0.175 0.316 0.281 Min. -0.926-1.720-1.265-1.466-0.777-1.163-1.265 Max. 0.890 1.345 1.403 0.639 0.714 1.059 1.403 Return (%) Obs. 411 411 410 294 411 294 405 Mean 0.141 0.437 0.074 0.100 0.123 0.043 0.070 Median 0.398 0.684 0.182 0.460 0.251 0.147 0.192 SD 3.181 3.110 3.068 2.699 2.604 1.690 3.073 Min. -19.110-16.090-12.850-11.800-15.160-7.967-12.850 Max. 23.240 15.580 22.400 11.100 10.730 5.038 22.400 Google Flu Data: Google Flu (hundred): Obs. 411 411 410 294 411 294 405 Mean 0.445 10.900 0.334 3.919 13.800 0.352 0.333 Median 0.207 9.940 0.249 2.582 10.700 0.205 0.220 SD 0.745 4.068 0.290 4.466 9.889 0.358 0.361 Min. 0.020 4.946 0.100 0.507 3.059 0.031 0.080 Max. 5.943 30.220 1.857 28.200 74.140 2.643 2.497 LogGoogleFlu: Obs. 411 411 410 294 411 294 405 Mean -0.005-0.000-0.001 0.001 0.000 0.006-0.001 Median 0.000-0.002 0.000-0.001-0.002 0.003 0.000 SD 0.317 0.081 0.165 0.185 0.156 0.212 0.189 Min. -0.885-0.304-0.723-0.528-0.596-0.546-0.672 Max. 1.684 0.346 0.789 0.593 0.588 0.795 1.065 8
TABLE A.2 (continued) Panel E. Norway - South Africa Equity Index Data: Norway Ontario Peru Poland Russia Sao Paulo South Africa Volume (billion) Obs. 353 411 385 360 352 416 292 Mean 0.241 0.187 0.009 0.065 24.010 7.907 0.193 Median 0.222 0.185 0.007 0.066 20.960 0.809 0.193 SD 0.102 0.055 0.013 0.041 26.509 9.261 0.045 Min. 0.076 0.043 0.001 0.007 0.132 0.083 0.043 Max. 1.093 0.432 0.175 0.226 159.300 38.580 0.333 LogSVol Obs. 353 411 385 360 351 416 292 Mean 0.001 0.001 0.001 0.007 0.013-0.012 0.001 Median -0.012 0.001-0.041 0.003 0.006-0.000 0.018 SD 0.259 0.226 0.669 0.288 0.397 0.266 0.254 Min. -0.844-1.024-3.437-0.929-1.502-1.546-1.259 Max. 0.896 1.089 2.950 0.968 3.107 0.952 0.803 Dollar Volume (million) Obs. 353 411 385 360 352 416 292 Mean 8.094 4.452 0.037 0.663 39.070 2.902 10.870 Median 7.271 4.441 0.027 0.651 42.880 3.029 10.880 SD 3.307 1.421 0.036 0.258 21.980 1.639 2.562 Min. 1.807 1.016 0.004 0.132 3.688 0.496 2.053 Max. 17.340 11.840 0.309 1.829 99.540 7.101 20.330 LogDVol Obs. 353 411 385 360 351 416 292 Mean 0.000 0.002 0.005 0.004 0.005 0.004 0.002 Median -0.005-0.002 0.008-0.004-0.004-0.001 0.002 SD 0.254 0.228 0.624 0.234 0.254 0.196 0.268 Min. -1.313-1.058-2.450-0.791-1.113-0.595-1.463 Max. 1.289 1.061 2.714 0.762 1.163 0.694 1.057 Return (%) Obs. 353 411 416 360 353 416 292 Mean 0.217 0.195 0.665 0.174 0.416 0.383 0.258 Median 0.599 0.552 0.718 0.422 0.900 0.704 0.298 SD 3.738 2.542 4.607 3.479 5.585 3.930 3.281 Min. -15.560-16.300-23.260-11.620-27.530-18.980-12.780 Max. 25.680 10.690 39.990 14.400 43.380 20.570 16.810 Google Flu Data: Google Flu (hundred): Obs. 353 411 416 360 353 416 292 Mean 0.623 18.420 2.518 0.615 3.950 2.250 26.690 Median 0.336 15.610 2.433 0.412 3.443 2.230 24.650 SD 0.931 13.759 0.842 0.764 2.564 0.678 7.749 Min. 0.080 1.406 0.954 0.060 1.057 1.070 15.320 Max. 6.750 100.700 6.069 4.571 17.520 4.810 61.990 LogGoogleFlu: Obs. 353 411 416 360 353 416 292 Mean 0.003-0.004-0.003-0.003 0.002-0.001 0.001 Median -0.010-0.015-0.002-0.048-0.014 0.003-0.001 SD 0.213 0.156 0.083 0.233 0.136 0.085 0.095 Min. -0.688-0.715-0.270-0.567-0.340-0.248-0.273 Max. 0.830 0.407 0.341 1.367 0.459 0.361 0.304 9
TABLE A.2 (continued) Panel F. Spain - Zurich Equity Index Data: Spain Sweden Switzerland Ukraine United States Vienna Zurich Volume (billion) Obs. 411 301 406 302 411 411 410 Mean 0.353 0.262 0.060 0.010 1.347 0.005 0.059 Median 0.351 0.252 0.052 0.005 1.378 0.005 0.052 SD 0.115 0.089 0.025 0.012 0.281 0.003 0.024 Min. 0.097 0.110 0.012 0.000 0.494 0.001 0.012 Max. 0.726 0.871 0.180 0.071 2.383 0.019 0.180 LogSVol Obs. 411 301 406 298 411 411 410 Mean 0.001-0.001 0.001 0.039-0.000 0.004 0.002 Median 0.017-0.011 0.001-0.014-0.002 0.008 0.001 SD 0.245 0.217 0.277 0.821 0.181 0.299 0.276 Min. -0.909-0.721-0.995-2.960-0.957-1.181-0.995 Max. 0.715 1.164 1.026 2.630 0.733 1.613 1.026 Dollar Volume (million) Obs. 411 301 406 303 411 411 410 Mean 3.986 18.320 3.526 0.018 44.530 0.164 3.514 Median 3.719 16.770 3.010 0.010 44.350 0.139 3.001 SD 1.568 6.140 1.509 0.024 14.124 0.089 1.507 Min. 1.100 6.238 0.829 0.000 15.030 0.022 0.829 Max. 9.712 37.290 9.943 0.116 94.380 0.501 9.943 LogDVol Obs. 411 301 406 217 411 411 410 Mean 0.000-0.001-0.000 0.033-0.000 0.002 0.000 Median 0.000-0.004 0.006-0.001-0.001-0.004 0.006 SD 0.264 0.206 0.262 0.658 0.175 0.279 0.261 Min. -0.926-0.712-1.017-2.547-0.777-1.107-1.017 Max. 0.890 0.731 1.115 3.084 0.714 1.141 1.115 Return (%) Obs. 411 301 406 306 411 411 410 Mean 0.141 0.112 0.083 0.372 0.123 0.217 0.081 Median 0.398 0.461 0.340 0.271 0.251 0.648 0.330 SD 3.181 3.380 2.403 5.548 2.604 3.893 2.394 Min. -19.110-13.400-11.060-26.630-15.160-17.340-11.060 Max. 23.240 22.790 15.550 30.890 10.730 27.410 15.550 Google Flu Data: Google Flu (hundred): Obs. 411 301 406 306 411 411 410 Mean 0.461 0.042 0.579 4.016 16.960 7.603 0.693 Median 0.226 0.021 0.212 3.774 14.030 6.864 0.269 SD 0.730 0.056 0.957 1.898 11.574 3.512 1.113 Min. 0.020 0.001 0.031 1.706 5.820 2.897 0.057 Max. 5.439 0.453 6.093 11.660 76.830 26.250 6.626 LogGoogleFlu: Obs. 411 301 406 306 411 411 410 Mean -0.005-0.003-0.002-0.001-0.000-0.002-0.004 Median -0.026 0.000-0.009-0.008-0.004 0.000-0.018 SD 0.277 0.232 0.256 0.117 0.114 0.107 0.311 Min. -0.695-0.865-0.714-0.436-0.640-0.344-0.971 Max. 1.525 0.973 0.964 0.561 0.360 0.330 1.045 10
TABLE A.3 CDC Lag Coefficient Tests This table reports coefficients for pooled multivariate regressions using robust standard errors with firm-level clustering. The first row of Panel A repeats the regression reported in the first column of Table 4 with lag LogUSFlu as an additional independent variable and the second row of Panel A repeats the regression reported in the second column of Table 4 with lag LogNYFlu and lag LogNonNYFlu as additional independent variables. The dependent variable is LogDVol, defined as the weekly percentage change in dollar volume measured as the change in the logarithm of dollar volume. The rows of Panels B and C repeat the regressions reported in the third and fourth columns of Table 4 with the addition of the lag flu variables. The dependent variable in Panel B is Turnover, defined as the weekly change in turnover, 100 log ( 1 Volume / Shares) +, where Volume refers to the number of shares traded in the given week and Shares equals the average number of shares outstanding during the week. The dependent variable in Panel C is LogTrades, defined as the weekly percentage change in the number of trades. The rows of Panels D, E, and F repeat the regressions reported in the third and fourth columns of Tables 5, 6, and 7 with the addition of the lag flu variables. The dependent variable in Panel D is LogVolatility, calculated as the weekly change in the logarithm of the average unsigned 10 minute return over the week (see Andersen and Bollerslev, 1998 and Andersen et. al., 2001). The dependent variable in Panel E is Spread, defined as ( Spread ) 100 t Spreadt 1, where Spread is the average weekly time-weighted effective percentage spread calculated as 100 times the difference between the trade price and the midpoint of the active quote divided by the midpoint of the active quote weighted by the time between trades. The dependent variable in Panel F is Return, defined as the weekly CRSP cum dividend percentage return. The flu variables are the percentage change in the number of flu cases in the subsequent week. This is measured as the change in the logarithm of the number of flu cases plus one. β Flu,t+1 (US) is the coefficient on the U.S. flu variable, LogUSFlu and β Flu,t+1 (NY) is the coefficient on LogNYFlu. β Flu,t is the coefficient on the lag flu variable: LogUSFlu in the second row of each panel and LogNYFlu in the third row of each panel. Column 6 reports the sum of the coefficients on the flu variable and lag flu variable, β Flu,t + β Flu,t+1. As in the 11
originally reported regressions, dummy variables for the week of the year and the calendar year are included to control for time effects and weather controls are included as in Saunders (1993). The equation fit in the first row of each Panel is:, = +, +, + + + + + +, Where are LogDVol, LogTrades, Turnover, LogVolatility, Spread, and Return. are the dummy variables for Many Clouds and Few Clouds; WDummy are the dummy variables for the week of the year; YDummy are the yearly dummies, and DDummy is a dummy variable equal to one after decimalization. Controls are the controls included in the originally reported regressions. Turnover is the control variable included in the regression in Panel D;. LogDVol, LogVolatility, 1/P, and the first-difference LogMV are the controls included in the regression in Panel E; and OIB, Lagged OIB, and Spread are the controls included in the regression reported in Panel F. The second row of each panel replaces Log with and and their lag values. Robust t-statistics are reported in parentheses below the coefficients. The P-value from an F-Test of the linear hypothesis that the sum of the coefficients on flu and next week s flu is zero is reported in the curly brackets below the summed coefficients reported in column 6. *, **, and *** refer to significance at the 5%, 1%, and 0.1% levels, respectively. 12
TABLE A.3 (continued) β Flu,t+1 (US) β Flu,t+1 (NY) β Flu,t R 2 Obs. β Flu,t + β Flu,t+1 Original Coef. Panel A. LogDVol -0.0160*** 0.0288*** 0.038 1,209,333 0.0128*** -0.0135*** (-10.46) (18.61) {0.0000} (-9.23) -0.0401*** 0.0089*** 0.039 1,209,333-0.0313*** -0.0391*** (-30.99) (6.79) {0.0000} (-29.51) Panel B. Turnover -0.0464*** 0.0353*** 0.005 1,209,333-0.0112-0.0434*** (-5.20) (4.98) {0.1375} (-5.06) -0.0826*** 0.0159* 0.005 1,209,333-0.0666*** -0.0822*** (-13.59) (2.49) {0.0000} (-12.64) Panel C. LogTrades -0.0085*** 0.0287*** 0.068 1,209,333 0.0202*** -0.0060*** (-8.73) (30.13) {0.0000} (-6.44) -0.0311*** 0.0047*** 0.070 1,209,333-0.0264*** -0.0291*** (-38.01) (5.88) {0.0000} (-35.13) Panel D. LogVolatility 0.0033** -0.0045*** 0.015 1,203,814-0.0012 0.0023 (2.66) (-3.86) {0.2215} (1.93) -0.0091*** 0.0055*** 0.015 1,203,814-0.0036** -0.0119*** (-9.54) (6.23) {0.0025} (-12.05) Panel E. Spread 0.0032*** 0.0002 0.030 1,203,710 0.0034*** 0.0042*** (3.75) (0.27) {0.0001} (4.96) 0.0036*** 0.0004 0.030 1,203,710 0.0039*** 0.0027*** (4.78) (0.55) {0.0000} (3.33) Panel F. Return -0.2218*** 0.0896*** 0.062 1,205,772-0.1322*** -0.2305*** (-15.67) (6.41) {0.0000} (-16.18) -0.0989*** 0.0112 0.061 1,208,224-0.0876*** -0.0962*** (-7.53) (0.92) {0.0000} (-7.27) 13
TABLE A.4 Google Lag Coefficient Tests This table reports coefficients for multivariate regressions using robust standard errors and multivariate panel regressions using robust standard errors clustered by country or city/region. The All Countries Panel includes flu and stock market data for Argentina, Australia, Austria, Belgium, Brazil, Bulgaria, Canada, Chile, France, Germany, Hungary, Japan, Mexico, Netherlands, New Zealand, Norway, Peru, Poland, Russia, South Africa, Spain, Sweden, Switzerland, Ukraine, and the United States. The All Cities/Regions Panel includes flu and stock market data for Buenos Aries, New South Wales, Vienna, Brussels, Sao Paulo, Ontario, Ile de France, Hessen, Distrito Federal, North Holland, Lima, Gauteng, Madrid, Zurich, and New York City. Each row of the table repeats the regressions reported in Table 3 with next week s GoogleFlu as an additional independent variable. Panel A repeats the regressions reported in first column of Table 3 with the addition of the next week s flu variable and dependent variable, LogSVol, defined as the weekly percentage change in index constituent shares traded measured as the weekly change in the logarithm of index share volume. Panels B and C repeat the regressions reported in the second and third columns of Table 3 with the addition of the next week s flu variable. The dependent variable in Panel B is LogDVol, defined as the weekly percentage change in the value of index constituent shares traded measured as the weekly change in the logarithm of the value of index share volume. The dependent variable in Panel C is Return, measured as the weekly cum dividend return. The flu variables are the weekly percentage change in estimated flu incidence from Google Flu Trends. This is measured as the first difference of the logarithm of the weekly estimate of flu incidence in the country or city/region. LogCountryFlu is the percentage change in each country as a whole, LogCityRegionalFlu is the percentage change in the cities/regions where the main exchange is located, LogUSFlu is the percentage change in the U.S. as a whole, LogNYNJFlu is the percentage change in the combined New York and New Jersey region, and LogNYCityFlu is the percentage change in New York City. β Flu,t is the coefficient on the flu variable, LogGoogleFlu. β Flu,t+1 is the coefficient on next week s flu variable. Column 6 reports the sum of the coefficient on the flu variable and next week s flu variable, β Flu,t + β Flu,t+1. Dummy variables for the calendar year are included to control for time effects. 14
The equation fit in each row is:, = +, +, + +, Where are LogSVol, LogDVol, and Return. YDummy are the yearly dummies. Robust t-statistics are reported in parentheses below the coefficients. The P-value from an F-Test of the linear hypothesis that the sum of the coefficients on flu and next week s flu is zero is reported in the curly brackets below the summed coefficients reported in column 6. *, **, and *** refer to significance at the 10%, 5%, and 1% levels, respectively. 15
TABLE A.4 (continued) β Flu,t β Flu,t+1 R 2 Obs. β Flu,t + β Flu,t+1 Original Coef. Panel A. LogSVol All Countries: LogCountryFlu -0.0812* 0.0624* 0.001 9,245-0.0188-0.0446** (-2.51) (2.13) {0.2104} (-2.29) Northern Hemisphere Countries: LogCountryFlu -0.0983* 0.0913** 0.002 6,392-0.0070-0.0393* (-2.54) (2.75) {0.6592} (-1.82) Southern Hemisphere Countries: LogCountryFlu -0.0508-0.0266 0.001 2,853-0.0774-0.0591 (-0.82) (-0.59) {0.0610} (-1.14) US Flu: LogCountryFlu -0.6091** 0.4154** 0.081 410-0.1937-0.3292*** (-3.23) (2.78) {0.1555} (-2.72) All Cities/Regions: LogCityRegionalFlu -0.0997** 0.0579 0.003 5,886-0.0418* -0.0740*** (-2.89) (1.82) {0.0280} (-2.92) Northern Hemisphere Cities/Regions: LogCityRegionalFlu -0.0891* 0.0499 0.005 4,091-0.0392-0.0634** (-2.45) (1.46) {0.0610} (-2.43) Southern Hemisphere Cities/Regions: LogCityRegionalFlu -0.1826** 0.1154* 0.003 1,795-0.0673* -0.1540*** (-2.82) (2.13) {0.0196} (-2.81) NY/NJ Flu: LogCityRegionalFlu -0.3041** 0.1806* 0.044 410-0.1235-0.2049** (-2.86) (2.30) {0.0978} (-2.51) NY City Flu: LogCityRegionalFlu -0.2169** 0.0718 0.032 410-0.1452-0.1917*** (-2.92) (1.25) {0.1335} (-2.89) 16
TABLE A.4 (continued) β Flu,t β Flu,t+1 R 2 Obs. β Flu,t + β Flu,t+1 Original Coef. Panel B. LogDVol All Countries: LogCountryFlu -0.0966** 0.0706* 0.002 9,089-0.0261* -0.0555*** (-2.64) (2.09) {0.0418} (-2.67) Northern Hemisphere Countries: LogCountryFlu -0.0968* 0.0800* 0.003 6,312-0.0168-0.0445** (-2.39) (2.19) {0.1462} (-2.14) Southern Hemisphere Countries: LogCountryFlu -0.1082 0.0315 0.002 2,777-0.0766-0.1006 (-1.18) (0.42) {0.1499} (-1.32) US Flu: LogCountryFlu -0.5999*** 0.4097** 0.085 410-0.1902-0.3235*** (-3.34) (2.96) {0.1499} (-2.74) All Cities/Regions: LogCityRegionalFlu -0.1226** 0.0796* 0.006 5,886-0.0430** -0.0883*** (-3.22) (2.29) {0.0030} (-3.39) Northern Hemisphere Cities/Regions: LogCityRegionalFlu -0.1008** 0.0601 0.007 4,091-0.0407** -0.0716*** (-2.73) (1.76) {0.0096} (-2.91) Southern Hemisphere Cities/Regions: LogCityRegionalFlu -0.2901*** 0.2237*** 0.009 1,795-0.0664* -0.2277*** (-4.54) (3.77) {0.0129} (-3.63) NY/NJ Flu: LogCityRegionalFlu -0.2947** 0.1798* 0.045 410-0.1149-0.1958** (-2.87) (2.41) {0.0846} (-2.47) NY City Flu: LogCityRegionalFlu -0.2077** 0.0645 0.032 410-0.1432-0.1848*** (-2.92) (1.13) {0.1299} (-2.89) 17
TABLE A.4 (continued) β Flu,t β Flu,t+1 R 2 Obs. β Flu,t + β Flu,t+1 Original Coef. Panel C. Return All Countries: LogCountryFlu -0.0019-0.0008 0.000 9,401-0.0027-0.0034*** (-1.62) (-0.49) {0.0574} (-2.80) Northern Hemisphere Countries: LogCountryFlu -0.0021 0.0006 0.000 6,516-0.0015-0.0030** (-1.35) (0.30) {0.2829} (-2.20) Southern Hemisphere Countries: LogCountryFlu -0.0031-0.0059** 0.001 2,885-0.0090** -0.0046 (-1.60) (-2.60) {0.0052} (-1.63) US Flu: LogCountryFlu 0.0053-0.0113 0.028 410-0.0060*** -0.0032 (0.36) (-0.86) {0.0001} (-0.32) All Cities/Regions: LogCityRegionalFlu 0.0015-0.0008 0.000 5,916 0.0007 0.0003 (1.35) (-0.53) {0.6339} (0.24) Northern Hemisphere Cities/Regions: LogCityRegionalFlu 0.0008 0.0010 0.000 4,091 0.0019 0.0004 (0.63) (0.85) {0.0663} (0.34) Southern Hemisphere Cities/Regions: LogCityRegionalFlu 0.0047-0.0160*** 0.002 1,825-0.0113* 0.0018 (1.92) (-4.18) {0.0117} (0.60) NY/NJ Flu: LogCityRegionalFlu 0.0085-0.0099 0.029 410-0.0014*** 0.0023 (0.75) (-0.98) {0.0000} (0.28) NY City Flu: LogCityRegionalFlu 0.0039-0.0063 0.028 410-0.0023*** 0.0013 (0.47) (-0.87) {0.0000} (0.17) 18