Price Response Of Stock Market To Incidents Of Dairyproducts Quality And Safety

In recent years, food safety incidents occur frequently in China, food safety issues highlighted not only a threat to public health, but also led to increasingly serious social and economic impact. Especially the quality and safety of dairy products due to the occurrence of high frequency, types of problem, attracted the theory and practice workers widespread attention. Crises occur have a significant impact on the market,at the same time, the price volatility of the stock market will have an impact. In this study, expected by empirical research on the stock market after the price of dairy products quality and safety incident response, revealing the impact of negative information on the companies and the mechanism.This paper based on Efficient markets hypothesis,used the stock price. Analysis of the quality and safety of dairy products spillovers representative of the non-incident event companies by event study. The result shows that the impact of “Carcinogenic aflatoxin of Mengniu”, “School milk poisoning of Mengniu”, “Erie mercury exceeded of Yi Li”events on the industry’s all perform the Lagged contagion effects.“Tampering with date of Mengniu”and “milk mixed with alkaline of Bright Dairy” events impact on industry mainly for the lagged competition effect, and the competition effect duration is very short. “OMP of Mengniu” event did not have a significant impact on dairy industry. Crisis events has the difference between the incident and non-incident enterprise, according to the results of analysis of the “Carcinogenic aflatoxin of Mengniu” event, “School milk poisoning of Mengniu”, “Erie mercury exceeded of Yi Li” events for the enterprise the influence of the negative effect of significantly stronger than the industry; "Mengniu tampering with date" and "light milk mixed with alkaline" events for the incident and not the influence of the enterprise is not significant. “OMP of Mengniu” event has significant effects on the enterprises, to be not had no significant effect in the enterprise.This paper use the data of Investors’ attention from Baidu index,Using vector autoregression analysis to explore the correlation between Investors’ attention and the Abnormal return of return of enterprises. The result shows that “OMP of Mengniu”, “Carcinogenic aflatoxin of Mengniu”, “Erie mercury exceeded of Yi Li” during the event the Abnormal return of return of enterprises and Investors’ attention has the existence of Grainger. The investor attention has low contribution to the variance of the enterprise, the highest is 17% of Mengniu. The event window period of investors concerned about the variance contribution of the abnormal returns of up to 43%.