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.