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

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  • 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
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    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. Huang, Xiaowei & Cheng, Ge & Zhang, Man, 2025. "Climate change risk and real estate prices—Micro evidence from coastal cities in China," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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).
    9. Topa Răzvan, 2025. "Business Models and Their Impact on Climate Change: A Comprehensive Review of Recent Literature," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 19(1), pages 2765-2776.
    10. Khaled O. Alotaibi & Mohammed A. Al-Shurafa & Meshari Al-Daihani & Mohamed Bouteraa, 2025. "Sectoral Contributions to Financial Market Resilience: Evidence from GCC Countries," JRFM, MDPI, vol. 18(8), pages 1-20, August.
    11. 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).
    12. Xu, Xin & Xu, Yonghao & Zhu, Feifei, 2024. "Shaken to action: Natural disaster experience and enterprises' sustainable decision-making," Energy Economics, Elsevier, vol. 136(C).

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