KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET

Susan Sunila Sharma (), Naoyuki Yoshino () and Farhad Taghizadeh-Hesary ()
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Susan Sunila Sharma: Deakin University

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue 4, 641-658

Abstract: 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.

Keywords: Fiji; Stock market; Natural disaster; Political instability; EGARCH (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:4g:p:641-658

DOI: 10.21098/bemp.v24i4.1783

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