Catastrophic Shocks and Capital markets: A Comparative Analysis by Disaster and Sector

Andrew Worthington () and Abbas Valadkhani ()
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Andrew Worthington: University of Wollongong, http://www.uow.edu.au/commerce/econ/who/index.html
Abbas Valadkhani: University of Wollongong, http://www.uow.edu.au/commerce/econ/who/index.html

Economics Working Papers from School of Economics, University of Wollongong, NSW, Australia

Abstract: This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have found that the shocks provided by natural disasters have an influence on market sector returns, depending upon the sector in question. The sectors most sensitive to disasters of any type are the consumer discretionary, financial services and materials sectors while the most significant single event during the past eight years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market.

Keywords: Intervention Analysis; Capital Markets; Natural Disasters (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2005
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