Deakin University
Browse

File(s) not publicly available

Knowing the unknowns - fresh insights from an unknown stock market

journal contribution
posted on 2021-01-01, 00:00 authored by Susan SharmaSusan Sharma, N Yoshino, F Taghizadeh-Hesary
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.

History

Journal

Buletin Ekonomi Moneter dan Perbankan

Volume

24

Pagination

641-658

Location

Jakarta, Indonesia

ISSN

1410-8046

eISSN

2460-9196

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Issue

4

Publisher

Bank Indonesia

Usage metrics

    Research Publications

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC