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

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

Author Info

Worthington, Andrew () (University of Wollongong)
Valadkhani, Abbas () (University of Wollongong)

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 ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have 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 eight years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market.

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Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp05-20.

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Length: 17 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:uow:depec1:wp05-20

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Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
Phone: +612 4221-3663
Fax: +612 4221-3725
Web page: http://www.uow.edu.au/commerce/econ/
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This paper has been announced in the following NEP Reports:

NEP-ALL-2006-03-11 (All new papers)
NEP-FMK-2006-03-11 (Financial Markets)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Ho, Ada K F & Wan, Alan T K, 2002. "Testing for Covariance Stationarity of Stock Returns in the Presence of Structural Breaks: An Intervention Analysis," Applied Economics Letters, Taylor and Francis Journals, vol. 9(7), pages 441-47, June. [Downloadable!] (restricted)
Andrew Worthington & Abbas Valadkhani, 2004. "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor and Francis Journals, vol. 36(19), pages 2177-2186, September. [Downloadable!] (restricted)
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 105-18, February.

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