Effects of the Boxing Day tsunami on the world capital markets

Effects of the Boxing Day tsunami on the world capital markets The effects of the Boxing Day tsunami on the world equity markets are investigated in this paper. In particular, this paper examines how the risks and returns of industry and market portfolios are altered as a result of the tsunami. The analysis includes countries that were directly or indirectly exposed to this catastrophe. Both parametric and non-parametric tests are employed to explore the relationship between equity stock returns and the tsunami, and the CAPM is utilised to assess the variation in systematic risks. Given that the literature in this area is at its earliest stage, we draw on economic theories of flooding. In this way, our results are consistent with that of the flooding literature, which would predict that the Boxing Day tsunami would have minimal effects on the risks and returns of equity markets. This paper documents that the tsunami was associated with few abnormal return changes and a general increase in the long-term systematic risk of the equity portfolios in the study. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Effects of the Boxing Day tsunami on the world capital markets

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Publisher
Springer US
Copyright
Copyright © 2012 by Springer Science+Business Media, LLC
Subject
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-012-0286-z
Publisher site
See Article on Publisher Site

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