IDEAS home Printed from https://ideas.repec.org/a/idn/journl/v24y2021i4gp641-658.html
   My bibliography  Save this article

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.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:4g:p:641-658
    DOI: https://doi.org/10.21098/bemp.v24i4.1783
    as

    Download full text from publisher

    File URL: https://www.bmeb-bi.org/index.php/BEMP/article/view/1783/986
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.21098/bemp.v24i4.1783?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
    ---><---

    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

    Statistics

    Access and download statistics

    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:idn:journl:v:24:y:2021:i:4g:p:641-658. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Lutzardo Tobing or Jimmy Kathon (email available below). General contact details of provider: https://edirc.repec.org/data/bigovid.html .

    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.