KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET

Authors

Susan Sunila Sharma, Deakin University, AustraliaFollow
Naoyuki Yoshino, Keio University, JapanFollow
Farhad Taghizadeh-Hesary, Tokai University, JapanFollow

Document Type

Article

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.

Recommended Citation

Sharma, Susan Sunila; Yoshino, Naoyuki; and Taghizadeh-Hesary, Farhad (2021) "KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET," Bulletin of Monetary Economics and Banking: Vol. 24: No. 4, Article 7.
DOI: https://doi.org/10.21098/bemp.v24i4.1783
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss4/7

First Page

641

Last Page

658

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Australia

Affiliation

Deakin University