 How the Capital Market Reacted to the Great East Japan Earthquake: A Risk PerspectiveSoichiro Moridaira ()
Chapter Chapter 5 in Governance, Risk and Financial Impact of Mega Disasters, 2019, pp 81-96 from Springer Abstract: Abstract This chapter studies how the Japanese stock market reacted to the Great East Japan Earthquake. The Nikkei 225 stock index did not show much declining due to the Earthquake compared with the Great Financial crisis of 2007-2008. However, it can be shown that the impact of the Great Earthquake was bigger than that of the Great Financial crisis from the viewpoint of the default (insolvency) probability which may be computed from the stock prices. We furthermore try to show that the impacts of the Great Earthquake upon the stock prices of electric power and insurance companies using the state-space model. We find that the systematic risk representing by stochastically time-varying betas in these firms drastically changed after the Great Earthquake. The betas of all of the electric power companies depending upon the atomic showed strong jump just after the day of the Fukushima power plant collapse resulting from the Great Earthquake. In contrast to this, the betas of the insurers declined reflecting “gain from the loss (Shelor et al. in J Risk Insur 476–488, 1992).” Date: 2019 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:eclchp:978-981-13-9005-0_5 Ordering information: This item can be ordered from DOI: 10.1007/978-981-13-9005-0_5 Access Statistics for this chapter More chapters in Economics, Law, and Institutions in Asia Pacific from Springer |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.