In the face of disaster: Are sectoral indices moved by natural calamities
Southeast Asia is prone to natural disasters and these occurrences affect stock markets one way or another. Existing literature about the matter point to discrepancies such as lack of studies covering the ASEAN Region and the necessity for a more in-depth analysis of the markets, beyond the composit...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2017
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9031 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Southeast Asia is prone to natural disasters and these occurrences affect stock markets one way or another. Existing literature about the matter point to discrepancies such as lack of studies covering the ASEAN Region and the necessity for a more in-depth analysis of the markets, beyond the composites. This study fills the aforementioned disparity using the GARCH(1,1) model to investigate the impact of the three most recurrent natural disasters to the sectoral indices of Asia Tiger Cub economies namely Indonesia, Malaysia, the Philippines, and Thailand from 2007 to 2016. Findings reveal that natural disasters “floods and storms, specifically “impose a significant effect to the volatility of the sectoral indices of Malaysia, the Philippines, and Thailand, whereas none of the nine sectoral indices in Indonesia showed significant change. |
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