The impact of natural disasters on global stock market : the case of the Japanese 2011 earthquake

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dc.contributor.advisor Dodds, J. C. (James Colin)
dc.coverage.spatial Japan
dc.creator Luo, Nannan
dc.date.accessioned 2012-10-11T18:47:46Z
dc.date.available 2012-10-11T18:47:46Z
dc.date.issued 2012
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24714
dc.description 1 online resource (vii, 64 leaves) : ill.
dc.description Includes abstract and appendices.
dc.description Includes bibliographical references (leaves 44-46).
dc.description.abstract In this study, we investigate the impact of the Japanese earthquake 2011 on six most representative stock markets all over the world. An event study procedure is employed to analyze the data from all of these markets. Daily average abnormal return, cumulative abnormal return and average cumulative abnormal return are calculated to perform the test and analyze the reaction of the stock markets. Consistent with the literature, this paper finds that a negative shock brought by this catastrophic natural disaster exists in all of the six stock markets. But this impact is surprisingly small. Under the statistic t-test, the shock on all of the six stock markets is statistically insignificant. But for some individual stocks, this earthquake shows a significantly impact. The impact is either positive or negative. The direction of impact will depend on the industries that the company is involved in. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title The impact of natural disasters on global stock market : the case of the Japanese 2011 earthquake en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


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