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Knowing the unknowns - fresh insights from an unknown stock market
journal contribution
posted on 2021-01-01, 00:00 authored by Susan SharmaSusan Sharma, N Yoshino, F Taghizadeh-HesaryThe goal of our study is to examine the impact of natural disasters on the South Pacific Stock Exchange. We use daily time-series data for Fiji's stock market for the period 2000-2019. Our empirical framework is based on three factor regression models, namely the market model, the Fama and French three-factor model, and the Fama and French five-factor model. We find evidence that natural disasters in Fiji reduce abnormal returns in the most relevant five-factor model. Additionally, we provide evidence that different types of natural disasters have heterogeneous effects on Fiji's stock market. Our findings are further supported by a robustness check.
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Journal
Buletin Ekonomi Moneter dan PerbankanVolume
24Issue
4Pagination
641 - 658Publisher
Bank IndonesiaLocation
Jakarta, IndonesiaPublisher DOI
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ISSN
1410-8046eISSN
2460-9196Language
engPublication classification
C1 Refereed article in a scholarly journalUsage metrics
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