KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET | Zendy

Susan Sunila Sharma | Zendy; Naoyuki Yoshino | Zendy; Farhad TaghizadehHesary | Zendy

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KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET

Author(s) -

Susan Sunila Sharma,

Naoyuki Yoshino,

Farhad TaghizadehHesary

Publication year - 2022

Publication title -

deleted journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.505

H-Index - 4

ISSN - 2460-9196

DOI - 10.21098/bemp.v24i4.1783

Subject(s) - natural disaster , econometrics , stock market , stock (firearms) , robustness (evolution) , financial economics , stock exchange , economics , geography , finance , biochemistry , context (archaeology) , chemistry , archaeology , meteorology , gene

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.

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