Jeremy Bertoneu, Washington University in St. Louis, Business School, Yupeng Lin, National University of Singapore, NUS Business School, Yibin Liu, National University of Singapore, NUS Business School, and Zhenghui Ni, National University of Singapore, Department of Finance, have published Capital Market Consequences of Generative AI: Early Evidence from the Ban of ChatGPT in Italy. Here is the abstract.
Measuring the economy-wide effects of a revolutionary technology such as Generative AI is challenging. On March 31, 2023, the Italian data protection authority found that ChatGPT violated data protection laws and banned the service in Italy, providing a rare experiment. Relying on this event, we show that Italian publicly-traded companies declined by 1.4% (2.7%) over three days around the ban (throughout the entire ban duration) relative to a matched sample of European firms. Stock prices of industries most exposed to AI incrementally declined, suggesting that the unavailability of ChatGPT drives the price change. Consistent with the creative destruction effect, we find that younger and smaller firms suffer more from the ban than their peers. Using a difference-in-difference design, we find that volatility and trading volume decreased and bid-ask spreads increased during the ban, consistent with AI facilitating information dissemination among investors.
Download the article from SSRN at the link.