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Knowing The Unknowns – Fresh Insights From An Unknown Stock Market

Author

Listed:
  • Susan Sunila Sharma

    (Deakin University)

  • Naoyuki Yoshino

    (Keio University)

  • Farhad Taghizadeh-Hesary

    (Tokai University)

Abstract

The goal of our study is to examine the impact of natural disasters on the South Pacific Stock Exchange. We use daily time-series data for Fiji’s stock market for the period 2000-2019. Our empirical framework is based on three factor regression models, namely the market model, the Fama and French three-factor model, and the Fama and French five-factor model. We find evidence that natural disasters in Fiji reduce abnormal returns in the most relevant five-factor model. Additionally, we provide evidence that different types of natural disasters have heterogeneous effects on Fiji’s stock market. Our findings are further supported by a robustness check.

Suggested Citation

  • Susan Sunila Sharma & Naoyuki Yoshino & Farhad Taghizadeh-Hesary, 2021. "Knowing The Unknowns – Fresh Insights From An Unknown Stock Market," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(4), pages 641-658, December.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:4g:p:641-658
    DOI: https://doi.org/10.21098/bemp.v24i4.1783
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    More about this item

    Keywords

    Fiji; Stock market; Natural disaster; Political instability; EGARCH;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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