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The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war

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  • Viviana Fernández

Abstract

In this article, we pursue to determine which mining firms have seen their stock returns become more sensitive to fluctuations in energy prices, over a time period predominated by the political turmoil caused by 9/11 and the subsequent invasion of Iraq. By resorting to wavelets and spatial statistics, we characterize the behavior of volatility and the degree of co-movement of the stock returns of ten leading mining firms operating in the Asia-Pacific region: Alcan Inc., Antofagasta, Barrick Gold Corp., BHP Billiton, International Nickel Ind., Peabody Energy, Phelps Dodge Corp, Rio Tinto plc., Teca Cominco Ltd., and Yanzhou Coal Mining Co.

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  • Viviana Fernández, 2007. "The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war," Documentos de Trabajo 243, Centro de Economía Aplicada, Universidad de Chile.
    • Handle: RePEc:edj:ceauch:243
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