Title

The impact of natural disasters on the performance of the stock market: Case of the ASEAN 5

Date of Publication

2015

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Abstract/Summary

The occurrence of financial disasters is inevitable. Investors and companies should be aware how these disasters may affect business operations. Although the ASEAN is a calamity prone area, studies on the ASEAN countries and natural disasters and comparison between countries are limited among researchers. Focusing therefore on the ASEAN 5, this study explores the impact of natural disasters, specifically earthquakes and floods, on the performance of the stock market for the years 2000-2014 using ARGH/GARCH-M models. Generally, natural disasters do not have any significant impact on the market. However, the gaining from loss hypothesis of Shelor et al. (1992) was evident for most of the countries rather than suffering from loss from the disaster. Meanwhile, all countries except for the case of the Philippines showed a manifestation of risk return trade-off wherein higher risk leads to lower return.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU20474

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

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