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.
Sharma, Susan Sunila; Yoshino, Naoyuki; and Taghizadeh-Hesary, Farhad
"KNOWING THE UNKNOWNS – FRESH INSIGHTS FROM AN UNKNOWN STOCK MARKET,"
Bulletin of Monetary Economics and Banking: Vol. 24:
4, Article 7.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss4/7