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  • The impact of natural events and disasters on the Australian stock market: A GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires

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    Author(s)
    Worthington, AC
    Griffith University Author(s)
    Worthington, Andrew C.
    Year published
    2008
    Metadata
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    Abstract
    This paper examines the impact of natural events and disasters in Australia on Australian stock market returns. The data set employed consists of daily price and accumulation (including dividends and changes in capitalisation) returns from 1 January 1980 to 30 June 2003 and the complete timing and duration of all severe storms, floods, cyclones, earthquakes and bushfires recorded during this period. A GARCH-Mean model is used to model the return series and the natural events and disasters are specified as exogenous explanatory variables. The results indicate that at the market level, natural events and disasters have no ...
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    This paper examines the impact of natural events and disasters in Australia on Australian stock market returns. The data set employed consists of daily price and accumulation (including dividends and changes in capitalisation) returns from 1 January 1980 to 30 June 2003 and the complete timing and duration of all severe storms, floods, cyclones, earthquakes and bushfires recorded during this period. A GARCH-Mean model is used to model the return series and the natural events and disasters are specified as exogenous explanatory variables. The results indicate that at the market level, natural events and disasters have no significant impact on returns however defined.
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    Journal Title
    Global Business and Economics Review
    Volume
    10
    Issue
    1
    Publisher URI
    http://www.inderscience.com/
    DOI
    https://doi.org/10.1504/GBER.2008.016824
    Copyright Statement
    © 2008 Inderscience Publishers. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal website for access to the definitive, published version.
    Subject
    Applied economics
    Publication URI
    http://hdl.handle.net/10072/22337
    Collection
    • Journal articles

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