We examine the effect of hurricanes on the stock market, specifically on US energy companies. Unlike in the previous literature, we identify the timing and severity of hurricane events using the attention they receive online. Using our improved measure of hurricane events, we estimate dynamic common correlated effect panel models with daily and intraday stock returns over the last two decades and find that stock returns increase and stock volatility decreases following hurricanes. We argue that these results fit well with the energy supply and demand shock explanation and the limited attention hypothesis.

中文翻译：

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飓风会给股市带来风暴吗？美国能源公司案例


我们研究了飓风对股市的影响，特别是对美国能源公司的影响。与以前的文献不同，我们利用飓风事件在网上受到的关注来确定飓风事件的时间和严重性。使用我们对飓风事件的改进测量，我们估计了过去二十年中每日和日内股票回报的动态共同相关效应面板模型，发现飓风过后股票回报率增加，股票波动性降低。我们认为，这些结果与能源供需冲击解释和有限注意力假说非常吻合。