The impact of natural disasters on stock markets: Evidence from Japan and the US

被引：47
|
作者：
Wang L. [1 ]
Kutan A.M. [2 ,3 ]
机构：
[1] C.T. Bauer College of Business, University of Houston, Houston, AK
[2] Southern Illinois University Edwardsville, University Drive, Edwardsville
[3] Borsa Istanbul, Istanbul
来源：
Comparative Economic Studies | 2013年 / 55卷 / 4期
关键词：
GARCH models; Insurance sector; Natural disaster; Stock market;
D O I：
10.1057/ces.2013.16
中图分类号：
学科分类号：
摘要：
This paper investigates the impact of natural disasters on the insurance sector as well as on the composite stock market in Japan and the US. GARCH models are employed to capture both wealth and risk effects of natural disasters. There are no wealth effects in the US and Japan composite stock markets, indicating that these markets can well diversify away the impact of natural disasters on stock return, but there are significant wealth effects in the US and Japan insurance sectors. While US investors in the insurance sector lose, those in Japan gain. All markets except the composite stock market in Japan face risk effects of natural disasters. © 2013 ACES.
引用
收藏
页码：672 / 686
页数：14
相关论文
共 50 条
12345