IDEAS home Printed from https://ideas.repec.org/a/taf/glecrv/v34y2005i3p331-344.html
   My bibliography  Save this article

Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector

Author

Listed:
  • Andrew Worthington
  • Abbas Valadkhani

Abstract

This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following 10 market sectors: consumer discretionary, consumer staples, energy, financial, healthcare, industrial, information technology, materials, telecommunication services and utilities. Inter alia, it was found that the shocks provided by natural disasters have an influence on market sector returns, depending upon the sector in question. The sectors most sensitive to disasters of any type are the consumer discretionary, financial services and materials sectors while the most significant single event during the past 8 years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market.

Suggested Citation

  • Andrew Worthington & Abbas Valadkhani, 2005. "Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector," Global Economic Review, Taylor & Francis Journals, vol. 34(3), pages 331-344.
    • Handle: RePEc:taf:glecrv:v:34:y:2005:i:3:p:331-344
    DOI: 10.1080/12265080500292641
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/12265080500292641
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/12265080500292641?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. St Pierre, Eileen F, 1998. "The Impact of Option Introduction on the Conditional Return Distribution of Underlying Securities," The Financial Review, Eastern Finance Association, vol. 33(1), pages 105-118, February.
    2. Andrew Worthington & Abbas Valadkhani, 2004. "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2177-2186.
    3. Ada Ho & Alan Wan, 2002. "Testing for covariance stationarity of stock returns in the presence of structural breaks: an intervention analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 9(7), pages 441-447.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    2. Md. Noman Siddikee & Mohammad Mafizur Rahman, 2017. "Effect of catastrophic disaster in financial market contagion," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1288772-128, January.
    3. Vikash Ramiah, 2012. "The Impact of International Terrorist Attacks on the Risk and Return of Malaysian Equity Portfolios," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-26.
    4. Heonbae Jeon & Soonbong Lee & Hongseon Kim & Seung Bum Soh & Seongmoon Kim, 2023. "Portfolio Evaluation with the Vector Distance Based on Portfolio Composition," Mathematics, MDPI, vol. 11(1), pages 1-19, January.
    5. Daniel Castillo & Joseph Falzon, 2018. "An Analysis of the Impact of WannaCry Cyberattack on Cybersecurity Stock Returns," Review of Economics & Finance, Better Advances Press, Canada, vol. 13, pages 93-100, August.
    6. Ramiah, Vikash & Cam, Marie-Anne & Calabro, Michael & Maher, David & Ghafouri, Shahab, 2010. "Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 64-76, January.
    7. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    8. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Malik, Ihtisham A. & Chowdhury, Hasibul & Alam, Md Samsul, 2023. "Equity market response to natural disasters: Does firm's corporate social responsibility make difference?," Global Finance Journal, Elsevier, vol. 55(C).
    2. Jerch, Rhiannon & Kahn, Matthew E. & Lin, Gary C., 2023. "Local public finance dynamics and hurricane shocks," Journal of Urban Economics, Elsevier, vol. 134(C).
    3. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. ""Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series"," IREA Working Papers 202309, University of Barcelona, Research Institute of Applied Economics, revised Jul 2023.
    4. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Eduardo Cavallo & Ilan Noy, 2009. "The Economics of Natural Disasters: A Survey," Research Department Publications 4649, Inter-American Development Bank, Research Department.
    6. Takuya Maruyama & Kazutake Taguchi, 2021. "Increased motor vehicle crashes following the 2016 Kumamoto earthquake, Japan: an interrupted time series analysis of property damage crashes," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 108(2), pages 1877-1899, September.
    7. Xu, Nana & Chen, Jiaqi & Zhou, Fangzhao & Dong, Qing & He, Zhifang, 2023. "Corporate ESG and resilience of stock prices in the context of the COVID-19 pandemic in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    8. Tylor Orme, 2014. "The short- and long-term effectiveness of anti-piracy laws and enforcement actions," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 38(4), pages 351-368, November.
    9. Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 37-53, September.
    10. Dumitru-Cristian Oanea & Stela Jakova, 2016. "Impact of SNB Decision to Unpeg the Franc from Euro on Financial Markets: Event Study Approach," EuroEconomica, Danubius University of Galati, issue 2(12), pages 217-227, April.
    11. Imad Moosa & Sulaiman Al-Abduljader, 2010. "A test of the news model of stock price determination in an emerging market: the case of Kuwait," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 397-405.
    12. George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
    13. Dumitru-Cristian Oanea & Stela Jakova, 2016. "Impact of SNB Decision to Unpeg the Franc from Euro on Financial Markets: Event Study Approach," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(2), pages 217-227, April.
    14. Qiuyun Wang & Lu Liu, 2022. "Pandemic or panic? A firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    15. Assis, T.P. & Cordeiro, F.F. & Schiavon, L.C., 2023. "How stock market reacts to environmental disasters and judicial decisions: A case study of Mariana’s dam collapse in Brazil," International Review of Law and Economics, Elsevier, vol. 73(C).
    16. Dey, Asim K. & Hoque, G.M. Toufiqul & Das, Kumer P. & Panovska, Irina, 2022. "Impacts of COVID-19 local spread and Google search trend on the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    17. Ihtisham A. Malik & Robert Faff, 2022. "Industry market reaction to natural disasters: do firm characteristics and disaster magnitude matter?," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 111(3), pages 2963-2994, April.
    18. Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2023. "Combining counterfactual outcomes and ARIMA models for policy evaluation," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 1-24.
    19. Abbas Valadkhani, 2005. "Goods and Services Tax Effects on Goods and Services Included in the Consumer Price Index Basket," The Economic Record, The Economic Society of Australia, vol. 81(s1), pages 104-114, August.
    20. Valadkhani, Abbas, 2005. "Pre- and Post-Dynamic GST Effects on Goods and Services Included in the CPI Basket," Economics Working Papers wp05-08, School of Economics, University of Wollongong, NSW, Australia.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:glecrv:v:34:y:2005:i:3:p:331-344. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RGER20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.