Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector

References

• Aiuppa , T. A. , Carney , R. J. and Krueger , T. M. 1993 . An examination of insurer stock prices following the Loma Prieta earthquake . Journal of Insurance Issues , 16 ( 1 ) : 1 – 14 .
   Google Scholar
• Angbazo , L. A. and Narayanan , R. 1996 . Catastrophic shocks in the property-liability insurance industry: Evidence on regulatory and contagion effects . Journal of Risk and Insurance , 63 ( 4 ) : 619 – 637 .
   Web of Science ®Google Scholar
• Bhar , R. 2001 . Return and volatility dynamics in the spot and futures markets in Australia: An intervention analysis in a bivariate EGARCH-X framework . Journal of Futures Markets , 21 ( 9 ) : 833 – 850 .
   Web of Science ®Google Scholar
• Box , G. E. P. and Tiao , G. C. 1975 . Intervention analysis with applications to economic and environmental problems . Journal of the American Statistical Association , 70 ( 1 ) : 70 – 79 .
   Web of Science ®Google Scholar
• Box , G. E. P. , Jenkins , G. M. and Reinsel , G. C. 1994 . Time Series Analysis Forecasting and Control , Upper Saddle River, NJ : Prentice-Hall .
   Google Scholar
• Bureau of Transport Economics (BTE) (2001) Economic Costs of Natural Disasters in Australia ( Canberra : Bureau of Transport Economics Report No. 103 ) .
   Google Scholar
• Cagle , J. A. B. 1996 . Natural disasters, insurer stock prices and market discrimination: The case of Hurricane Hugo . Journal of Insurance Issues , 19 ( 1 ) : 53 – 68 .
   Google Scholar
• Chen , A. H. and Siems , T. F. (2002) An empirical analysis of the capital markets’ response to cataclysmic events . Paper presented at the DIW Economic Consequences of Global Terrorism Workshop , Berlin , 14 – 15 June .
   Google Scholar
• Emergency Management Australia (EMA) (2003) Available at http://www.ema.gov.au/ (accessed August 2003) .
   Google Scholar
• Fairbairn , T. J. 1998 . Economic consequences of natural disasters among Pacific island countries . Pacific Economic Bulletin , 13 ( 2 ) : 54 – 63 .
   Google Scholar
• Federal Emergency Management Agency (FEMA) (2003) Available at http://www.fema.gov/ (accessed August 2003) .
   Google Scholar
• Fox , R. T. 1995 . Measuring catastrophic events on operating viability of firms: Hurricane Hugo and hospitals . International Advances in Economic Research , 1 ( 3 ) : 251 – 262 .
   Google Scholar
• Fox , R. T. 1996 . Using intervention analysis to assess catastrophic events on business environment . International Advances in Economic Research , 2 ( 3 ) : 341 – 349 .
   Google Scholar
• Ho , A. K. F. and Wan , A. T. K. 2002 . Testing for covariance stationarity of stock returns in the presence of structural breaks: An intervention analysis . Applied Economics Letters , 9 ( 7 ) : 441 – 447 .
   Web of Science ®Google Scholar
• Lamb , R. P. 1995 . An exposure-based analysis of property-liability insurer stock values around hurricane Andrew . Journal of Risk and Insurance , 62 ( 1 ) : 111 – 123 .
   Web of Science ®Google Scholar
• Liu , Y. J. and Yu , C. H. 2002 . On the effect of stock stabilisation fund: A case of Taiwan . Review of Pacific Basin Financial Markets and Policies , 5 ( 1 ) : 93 – 109 .
   Google Scholar
• Miller , R. 1991 . Natural disasters and their impact on insurance companies and financial markets . Journal of International Securities Markets , 5 ( 1 ) : 185 – 189 .
   Google Scholar
• Shelor , R. , Anderson , D. and Cross , M. 1992 . Gaining from loss: Property-liability insurer stock values in the aftermath of the 1989 California earthquake . Journal of Risk and Insurance , 59 ( 3 ) : 476 – 488 .
   Web of Science ®Google Scholar
• St Pierre , E. F. 1998 . The impact of option introduction on the conditional return distribution of underlying securities . Financial Review , 33 ( 1 ) : 105 – 118 .
   Google Scholar
• West , J. (2003) Impact of catastrophic loss in insurance security returns . Paper presented to the Business and Economic Society International (BESI) Conference , San Francisco , 24 – 28 July .
   Google Scholar
• Worthington , A. and Valadkhani , A. 2004 . Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis . Applied Economics , 36 ( 19 ) : 2177 – 2186 .
   Web of Science ®Google Scholar