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Catastrophic Shocks and Capital Markets: A Comparative Analysis by Disaster and Sector
2005
Global Economic Review
This paper provides an analysis of the impact of natural, industrial and terrorist disasters on the Australian capital market using the Box and Tiao intervention analysis and the data on daily returns in the following ten market sectors: consumer discretionary, consumer staples, energy, financial, health care, industrial, information technology, materials, telecommunication services and utilities. Inter alia, we have found that the shocks provided by natural disasters have an influence on
doi:10.1080/12265080500292641
fatcat:ybvykoccxvdw7nvcs2zhupbine