Effect of catastrophic disaster in financial market contagion

Figures & data

Figure 1. Daily log return of prior and post-Victoria bushfire.

Note: Prior shocks sample consists of 176-day return and post-shocks sample consists of 224-day return for Victoria bushfire.

Figure 2. Daily log return of prior and post-NSW bushfire.

Note: Prior shocks sample consists of 200-day return and post-shocks sample consists of 173-day return for NSW bushfire.

Table 1. Variance of log return

Index	Prior Victoria bushfire (%)	Post-Victoria bushfire (%)	Prior NSW bushfire (%)	Post-NSW bushfire (%)
ASX200 (Prior shocks)	0.052	0.016	0.007	0.004
NZX	0.020	0.007	0.003	0.003
BSE	0.094	0.042	0.013	0.007
HENGSENG	0.115	0.040	0.009	0.008
SSE	0.074	0.035	0.014	0.008
TSEC	0.053	0.022	0.006	0.003
NIKKE	0.104	0.026	0.032	0.017

Table 2. The coefficient of two-variable VAR model (Victoria bushfire)

Country	Prior Victoria bushfire			Post-Victoria bushfire
	ϕ1,1 (lag 4)	ϕ1,2 (lag 4)	εi	ϕ1,1 (lag 4)	ϕ1,2 (lag 4)	εi
ASX200	0.0042	0.1279	−0.0026	−0.0373	0.1077	0.0016
NZ50	−0.0103	0.0099	−0.0014	0.0477	0.0016	0.0010
ASX200	−0.1435	−0.1612	−0.0040	−0.0207	0.03355	0.0015
BSE	0.1159	0.0639	−0.0022	−0.0205	0.0690	0.0029
ASX200	0.0485	0.0777	−0.0024	−0.0633	0.1739	0.0013
HENGSENG	−0.1013	−0.0933	−0.0042	0.1238	−0.0714	0.0024
ASX200	0.0300	−0.1829	−0.0033	−0.0055	0.1152	0.0017
SSE	0.0164	0.0881	−0.0022	−0.0331	−0.0456	0.0014
ASX200	0.0589	−0.0898	−0.0030	−0.0024	−0.0451	0.0017
TSEC	−0.1351	−0.0916	−0.0048	−0.0539	−0.0450	0.0030
ASX200	0.0603	0.1495	−0.0021	−0.0323	0.1024	0.0015
NIKKE	−0.0043	−0.0310	−0.0036	0.1005	0.0893	0.0013

Table 3. The coefficient of two-variable VAR model (NSW bushfire)

Country	Prior NSW bushfire			Post-NSW bushfire
	ϕ1,1 (lag 4)	ϕ1,2 (lag 4)	εi	ϕ1,1 (lag 4)	ϕ1,2 (lag 4)	εi
ASX300	−0.0565	0.0037	0.0006	−0.0086	0.0941	−0.0000
NZX	0.0527	−0.0820	0.0007	−0.0323	−0.0197	0.0003
ASX300	−0.0627	0.0267	0.0006	−0.0843	−0.0148	0.0013
BSE	−0.0660	−0.1123	0.0003	−0.0174	−0.0024	0.0000
ASX300	−0.0373	0.1600	0.0006	−0.0036	0.0052	0.0000
HENGSENG	0.1547	−0.0327	−0.0000	0.0307	0.0347	0.0001
ASX300	−0.0344	−0.0809	0.0006	−0.0048	0.0451	0.0000
SSE	0.1820	−0.0547	−0.0002	0.0222	0.0792	−0.0002
ASX300	−0.0582	0.1322	0.0006	−0.0141	0.1004	−0.0000
TSEC	0.1191	−0.0082	0.0003	0.1500	−0.0756	0.0007
ASX300	−0.0673	0.0454	0.0006	−0.0026	−0.0011	0.0000
NIKKE	0.2736	−0.0925	0.0015	0.0611	−0.1006	0.0005

Table 4. Unadjusted (conditional) correlation coefficient of ASX200 residuals with other markets (Victoria bushfire)

Country	${\mathit{\rho }}_{\text{post shock}}^{\text{u}}$ (conditional) Victoria bushfire (%)	${\mathit{\rho }}_{\text{prior shock}}^u$ (conditional) Victoria bushfire (%)	(z)	p-value (two tailed)	Contagion
New Zealand (NZX)	24.31	40.98	−1.84	0.07	No
India (BSE)	9.33	−13.59	2.26	0.02	Yes
HENGSENG	14.75	−1.41	1.6	0.11	No
SSE	8.66	−3.54	1.2	0.23	No
TSEC	13.34	11.55	0.18	0.86	No
NIKKE	9.18	−5.27	1.42	0.16	No

Table 5. Adjusted (unconditional) correlation coefficient of ASX200 residuals with other markets (Victoria bushfire)

Country	${\mathit{\rho }}_{\text{post shock}}^a$ (unconditional) Victoria bushfire (%)	${\mathit{\rho }}_{\text{prior ; shock}}^a$ (unconditional) Victoria bushfire (%)	(z)	p-value (two tailed)	Contagion
New Zealand (NZX)	31.99	51.77	−2.38	0.02	No
India (BSE)	12.52	−18.17	3.04	0.00	Yes
HENGSENG	19.69	−1.89	2.15	0.03	Yes
SSE	11.63	−4.76	1.62	0.11	No
TSEC	17.84	15.47	0.24	0.81	No
NIKKE	12.33	−7.10	1.92	0.06	No

Table 6. Unadjusted (conditional) correlation coefficient of ASX300 residuals with other markets (NSW bushfire)

Country	${\mathit{\rho }}_{\text{post ; shock}}^u$ (conditional) NSW bushfire (%)	${\mathit{\rho }}_{\text{prior ; shock}}^u$ (conditional) NSW bushfire (%)	(z)	p-value (two tailed)	Contagion
New Zealand (NZX)	6.62	10.90	−0.41	0.68	No
India (BSE)	1.92	15.46	−1.3	0.19	No
HENGSENG	11.48	−8.56	1.92	0.05	Yes
SSE	3.84	16.71	−1.24	0.22	No
TSEC	9.50	1.27	0.79	0.43	No
NIKKE	−0.75	11.46	−1.17	0.24	No

Table 7. Adjusted (unconditional) correlation coefficient of ASX300 residuals with other markets (NSW bushfire)

Country	${\mathit{\rho }}_{\text{post ; shock}}^a$ (unconditional) NSW bushfire (%)	${\mathit{\rho }}_{\text{prior shock}}^a$ (unconditional) NSW bushfire (%)	(z)	p-value (two tailed)	Contagion
New Zealand (NZX)	7.46	12.27	−0.46	0.65	No
India (BSE)	2.16	17.37	−1.47	0.14	No
HENGSENG	12.91	−9.64	2.16	0.03	Yes
SSE	4.32	18.76	−1.4	0.16	No
TSEC	10.69	1.43	0.89	0.37	No
NIKKE	−0.85	12.89	−1.32	0.19	No

Table

	ASX200	BSE	HENGSENG	NIKKE	NZX	SSE	TSEC
Mean	−0.280%	−0.318%	−0.363%	−0.339%	−0.139%	−0.264%	−0.395%
Median	−0.229%	−0.296%	−0.145%	−0.143%	−0.048%	−0.338%	−0.202%
Maximum	5.628%	7.901%	13.407%	13.235%	5.815%	9.034%	6.099%
Minimum	−8.704%	−11.604%	−13.582%	−12.111%	−4.938%	−8.044%	−5.933%
Std. dev.	2.288%	3.061%	3.397%	3.229%	1.427%	2.722%	2.298%
Skewness	−0.175	−0.071	0.379	−0.136	−0.109	0.264	0.142
Kurtosis	3.995	3.540	6.243	6.220	5.065	4.006	3.262
Jarque–Bera	8.110	2.274	80.865	76.147	31.429	9.424	1.092
Probability	0.017	0.321	0.000	0.000	0.000	0.009	0.579

Table

	ASX200	BSE	HENGSENG	NIKKE	NZX	SSE	TSEC
Mean	0.143%	0.277%	0.213%	0.137%	0.084%	0.124%	0.255%
Median	0.096%	0.181%	0.105%	0.168%	0.119%	0.290%	0.298%
Maximum	3.409%	15.990%	7.153%	5.026%	2.374%	5.936%	6.525%
Minimum	−3.502%	−6.008%	−4.965%	−4.637%	−2.595%	−6.983%	−4.115%
Std. dev.	1.261%	2.059%	1.995%	1.607%	0.859%	1.880%	1.470%
Skewness	−0.028	1.960	0.185	0.144	−0.201	−0.662	0.069
Kurtosis	3.116	17.497	3.320	3.567	3.125	4.518	5.117
Jarque–Bera	0.154	2,095.456	2.222	3.756	1.642	37.712	41.806
Probability	0.926	0.000	0.329	0.153	0.440	0.000	0.000

Table

	ASX300	BSE	HENGSENG	NIKKE	NZX	SSE	TSEC
Mean	0.056%	0.020%	0.001%	0.148%	0.068%	−0.012%	0.035%
Median	0.098%	0.050%	0.000%	0.178%	0.081%	0.009%	0.010%
Maximum	2.592%	3.704%	2.517%	4.826%	1.707%	3.333%	2.237%
Minimum	−2.354%	−4.054%	−2.920%	−7.597%	−1.409%	−5.445%	−2.416%
Std. dev.	0.815%	1.129%	0.972%	1.784%	0.545%	1.163%	0.756%
Skewness	−0.266	−0.179	−0.259	−0.756	−0.081	−0.514	−0.106
Kurtosis	3.701	4.482	3.857	5.110	3.508	5.951	3.601
Jarque–Bera	6.412	19.284	8.318	55.889	2.354	80.940	3.363
Probability	0.041	0.000	0.016	0.000	0.308	0.000	0.186

Table

	ASX300	BSE	HENGSENG	NIKKE	NZX	SSE	TSEC
Mean	0.005%	0.112%	−0.006%	0.018%	0.027%	−0.051%	0.060%
Median	0.010%	0.060%	0.008%	0.015%	0.009%	−0.065%	0.131%
Maximum	2.061%	2.868%	2.690%	3.080%	1.995%	2.834%	1.203%
Minimum	−1.766%	−2.037%	−2.936%	−4.267%	−2.265%	−2.901%	−2.369%
Std. dev.	0.642%	0.837%	0.888%	1.318%	0.506%	0.904%	0.572%
Skewness	−0.071	0.440	−0.192	−0.297	−0.341	0.122	−0.917
Kurtosis	3.295	3.491	3.669	3.325	6.075	3.820	4.789
Jarque–Bera	0.766	7.275	4.256	3.276	71.120	5.248	47.058
Probability	0.682	0.026	0.119	0.194	0.000	0.073	0.000