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Market response of US equities to domestic natural disasters: industry‐based evidence
Author(s) -
Malik Ihtisham A.,
Faff Robert W.,
Chan Kam F.
Publication year - 2020
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12484
Subject(s) - natural disaster , period (music) , business , event study , financial economics , economics , actuarial science , geography , meteorology , context (archaeology) , physics , archaeology , acoustics
This study investigates US industry‐based price response to domestic natural disasters over the period 1960–2015. Using an event study methodology, we estimate pre‐, during and post‐disaster impacts. We document a slower response in the pre‐disaster period than in the post‐disaster period. We further find that industries react differently to the same disaster and that reactions are not always negative. For example, meteorological disasters have a positive (negative) market impact on Gold (Banking). Moreover, we provide evidence that not every industry responds similarly to different disasters, e.g., Gold reacts positively (negatively) to meteorological (geophysical) disasters.