Publication Date
July 2005
Recommended Citation
Worthington, A. and Valadkhani, Abbas, Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector, Department of Economics, University of Wollongong, 2005.
https://ro.uow.edu.au/commwkpapers/126
Abstract
This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have found that the shocks provided by natural disasters have an influence on market sector returns, depending upon the sector in question. The sectors most sensitive to disasters of any type are the consumer discretionary, financial services and materials sectors while the most significant single event during the past eight years would appear to be the September 11 terrorist attack, at least in terms of its impact upon the capital market.
Publication Details
Worthington, A and Valadkhani, A, Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector, Working Paper 05-20, Department of Economics, University of Wollongong, 2005.