The 2011 Japanese earthquake, tsunami and nuclear crisis: evidence of contagion from international financial markets

Simplice Asongu

MPRA Paper from University Library of Munich, Germany

Abstract: Natural disasters may inflict significant damage upon international financial markets. Using 33 international stock indexes and exchange rates, this paper examines if any contagion occurred across financial markets after the March 11, 2011 Japanese earthquake, tsunami and nuclear crisis. Using heteroscedasticity biases based on correlation coefficients, findings reveal that: while no sampled foreign exchange market suffered from contagion, stock markets of Taiwan, Bahrain, Saudi Arabia and South Africa witnessed a contagion effect. Our results have two paramount implications. Firstly, we have confirmed existing consensus that in the face of natural crises that could take an international scale, emerging markets are contagiously affected for the most part. Secondly, we have also shown that international financial market transmissions not only occur during financial crisis; natural disaster effects should not be undermined.

Keywords: Japanese Earthquake; Contagion; International Financial Markets (search for similar items in EconPapers)
JEL-codes: F30 G10 G15 (search for similar items in EconPapers)
Date: 2011-05-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/37415/2/MPRA_paper_37415.pdf revised version (application/pdf)

Related works:
Working Paper: The 2011 Japanese earthquake, tsunami and nuclear crisis: evidence of contagion from international financial markets (2011)
Working Paper: The 2011 Japanese earthquake, tsunami and nuclear crisis: evidence of contagion from international financial markets (2011)
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