Open AccessKNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET
Author(s) -
Susan Sunila Sharma,
Naoyuki Yoshino,
Farhad TaghizadehHesary
Publication year - 2022
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 , stock market , econometrics , 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.