This paper aims to investigate the effects of the mass food poisoning caused by processed milk and the intentional mislabeling of beef on the market risk of the excess stock returns of three companies in the Japanese milk industry by using the event-study methodology, a branch of financial econometrics. The dynamic conditional correlation GARCH model is fit to the excess return data to estimate the volatilities and dynamic conditional correlations of the corporations concerned. The results show that both events rapidly change the volatilities of the mentioned company and that these events influence the volatilities of one of the remaining two companies. Moreover, we find that the dynamic conditional correlations between this firm and the other firms changed rapidly when the beef mislabeling scandal was exposed but changed gradually when the mass food poisoning occurred. Therefore, one can conclude that the stock market can react immediately to unethical behavior of food-related firms.