Effects of the Boxing Day tsunami on the world capital markets

Vikash Ramiah ()

Review of Quantitative Finance and Accounting, 2013, vol. 40, issue 2, 383-401

Abstract: The effects of the Boxing Day tsunami on the world equity markets are investigated in this paper. In particular, this paper examines how the risks and returns of industry and market portfolios are altered as a result of the tsunami. The analysis includes countries that were directly or indirectly exposed to this catastrophe. Both parametric and non-parametric tests are employed to explore the relationship between equity stock returns and the tsunami, and the CAPM is utilised to assess the variation in systematic risks. Given that the literature in this area is at its earliest stage, we draw on economic theories of flooding. In this way, our results are consistent with that of the flooding literature, which would predict that the Boxing Day tsunami would have minimal effects on the risks and returns of equity markets. This paper documents that the tsunami was associated with few abnormal return changes and a general increase in the long-term systematic risk of the equity portfolios in the study. Copyright Springer Science+Business Media, LLC 2013

Keywords: Tsunami; Equity market; Abnormal returns; Systematic risk; G1; G11; G14; H56; Q54 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11156-012-0286-z

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