THE IMPACT OF NATURAL DISASTER ON STOCK MARKETS

Author: Kevin Brosseau

A Master Research Project Submitted to Ipag Business School, Paris, France in Partial
Fulfillment of the Requirements for the Degree of Master
Written for Master in Finance & Markets under the direction of Khaled Guesmi

April 2016, Paris, France

Acknowledgements

I would like to thank Pr. Khaled Guesmi, Professor of Finance at Ipag Business School for
wisely advised me throughout this project, as to the relevant areas to be developed on the
subject of memory and for helping me on issues related to methodology. I also would like to
express my appreciation to Pr. Duc Khuong Nguyen, Deputy Director for Research and
Director of the Master in Finance and Markets at Ipag Business School, for his implication in
my studies.
My thanks also go to the 5th year of coordination team, our program managers, to monitor
them throughout the year.
Finally, I thank more generally Ipag Business School that allowed me during this year to
diversify my knowledge in corporate finance and financial markets, throughout a research
program.

I would also like to introduce this subject by two citations of a Sociologist and Philosopher,
Edgar Morin, whose work on the complex thought, conduct my reflections and my work.
These following raise questions related to the topic of this memory.
Une prvision statistique avant la naissance de l'univers aurait considr celui-ci comme
quasi impossible.
Il y a moins de dsordre dans la nature que dans l'humanit.
Edgar Morin

THE IMPACT OF NATURAL DISASTER ON FINANCIAL MARKETS

Kevin Brosseau

Abstract
April, 2016

Extreme events represent a threat to financial markets. Since the 2008 financial crisis, issues
of regulation and risk prevention become unavoidable. To be expected and managed correctly,
the behavior of impacts of these extreme events must be described and measured. Growth in
number and power of natural disasters today brings a new type of risk to be taken into
consideration on the financial market. In this study, we focus on impact of natural disaster on
financial markets all over the world. An investigation of the actual statement of the literature
review is engaged to understand how theses phenomenon are measured and by which
econometrical means. 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. 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.
Key words and phrases: Natural Disaster, Stock Market, Efficiency, Event Study
Methodology, Intervention Analysis, GARCH

Table of Contents

Acknowledgements......................................................................................................................i

Abstract.......................................................................................................................................ii

Table of Contents.......................................................................................................................iii

Chapter 1 Introduction...............................................................................................................1
1.

Background.....................................................................................................................1

2.

Objectives.......................................................................................................................2

3.

Chapter organization.......................................................................................................2

Chapter 2 Literature Review......................................................................................................4

1.

Efficient Market Hypothesis...........................................................................................4

2.

The case of natural disaster & the evolution of financial literature trough the time......5

3.

Return adjustment studies...............................................................................................7

4.

Return and Volatility adjustment studies......................................................................12

Chapter 3 Conclusion...............................................................................................................15

References..................................................................................................................................iv

Chapter 1
Introduction

1. Background
A natural disaster is a natural event, suffered and brutal, which causing major upheavals that
could cause high human and material damage. The French national statistic institution INSEE
define it as an event characterized by the abnormal intensity of a natural agent (flood,
mudslide, earthquake, flood, drought ...) when the usual measures to prevent such damage
could not prevent their occurrence or havent been taken. A French ministerial decree notes
the state of natural disaster.
While natural disasters are caused by meteorological, seismic or other causes over which man
has no control, their balance sheets are heavily dependent on the human factor. Indeed, the
implantation of populations, infrastructures or activities in areas subject to natural disasters
affects the economic and human consequences of disasters.
In an actual ecological context, especially with the COP 21, climate change causes an increase
of natural disaster and damaged associated. Cyclones, hurricanes, drought, heat waves,
torrential rains, floods, storms have had their number and intensity grow significantly since
the 1980s, and this increase is a direct consequence of global warming, in the opinion of the
Group of climatologists Intergovernmental Panel on Climate Change (IPCC).
Moreover, population growth and GDP in regions vulnerable as well. Therefore, the
frequency and severity of the economic impact of natural disasters have intensified in recent
decades. The economic stakes are high. Some researches show that major natural disasters
have a negative impact on economic conditions. For example, a study of insurance board of
Canada in 2014 shows that a typical disaster will reduce economic growth by about one
percentage point to GDP of roughly 2%, while major disasters can have more adverse
consequences. For example, the earthquake that occurred in Kobe in 1995 long-term reduces
GDP by 13% per capita.
More specifically with a financial analysis, with international capital market more and more
interconnected, inadequate risk transfers and financial risks can also transform the growth
engine of economic interconnection as a threat to financial stability. Catastrophic losses may
1

spread along different sectors of the economy through a systemic domino effect. For example,
a mega earthquake can devastate the housing stock of a region. If the affected properties are
not insured, mortgage holders may find themselves with a property loss and be strongly
discouraged to repay their debt. Such a scenario could have disastrous consequences for the
banking sector, as demonstrated by the recent 2008 subprime financial crisis in the United
States.
Financial markets are described as nervous or jittery by people which create theses
features themselves. The market is one day a peaceful and the next day is a storm. These
descriptions are explained by the fact that the market itself is simply a massive compilation of
investors buy and sell based on the most part on fundamental analysis such as news or events
and expectation on underlying part. For a market to be considered efficient, share prices must
respond quickly to new information.
Natural event and financial market have some similar properties, such as unpredictability and
uncontrollability by humans and result in huge damage to personal property when extremes
events occur. Then issues of growing unpredictable natural disasters join those from
interconnected financial market. It becomes in our current context a new important kind of
risk to be taken into account next to those historically study in the financial literature such as
market or liquidity risk. This statement is reflected for example in the risk management
landscape in full evolution and the appearance of Cat Bonds. In this way, it is therefore
important to measure the evident effect of theses kind of disasters on financial market in order
to understand, expect, and manage it and may be a good test of market efficiency theory.

2. Objectives
This study focus on the reaction of the financial market to the happening of extreme events
such as natural disasters and how to measure this effect with econometrical tools. Statistical
methods are used to find out the relationship between them, determine the size of the reaction
and when it occurs. The specific methodology is crucial because it directly affects the results
of a test of market efficiency.

3. Chapter organization
2

The paper is organized as follows. Chapter 2 focus on the literature review which addresses
the topic. Different known approaches used to measure the impact of natural disasters on
financial markets for both return and volatility are explained. These models are presented in
increasing order of complexity and throughout time. The final Chapter 3 summarizes and
concludes the paper.

Chapter 2
Literature Review

There are four parts in this chapter. The first part introduces the efficient market hypothesis,
an essential base to study econometrical measuring. The second part the logical evolution of
subject treated in literature, especially the case of insurer stock price behavior after natural
disasters. And following parts describe how return and volatility are measured in financial
literature.

1. Efficient Market Hypothesis

First of all, to study the effect of natural disasters on Financial Market, we have to admit that
these markets can reflect this information and in which forms.
Fama in The Behavior of Stock Market Prices paper (1965) has introduced for the first time
the notion of efficient market hypothesis. Indeed, before the 1960s, economists dont focus
on financial markets because they though that it was not a serious study.
For Fama, financial markets are efficient and drive all information in market price. In this
way, prices follow a random walk making its evolution unpredictable. This theory induced
that if the market is efficient, no investor can succeed in obtaining an abnormal profit on the
market for a given level of risk. On the long run, to beat the market is thus impossible. The
price of a security is thus equal to its theoretical value. The overvaluation or undervaluation is
thus impossible in an efficient market.
More specifically in 1970, Fama distinguishes 3 forms of efficiency, classified according to
the capacity of the agents to get information on the market. introduce the event study
methodology. The weak form follows the first study and states that the whole of past
information is already taken into account by the current price of a stock. The semi strong
efficiency implied that prices adjust very fast to new public information (thus it is impossible
to speculate on it with fundamental or technical analysis). And the strong efficiency which
take into account public and private information.

To test and validate the assumption of semi strong hypothesis when the price of a security
fluctuates instantaneously with the advertisement of a public information, Fama introduces in
1969 with Fisher, Jensen and Roll the now classic event study methodology. They analyze
data of different kind of companies which make split in a specific period (1927-1959). The
main object of this study is to find the obvious impact of an event on stock market but the
magnitude and the timing as well.
This assumption, developed at the time of the application of probabilistic mathematics
(stochastic) to finance, was the support of important advanced financial modeling, and
involved in its turn the fast development of new tools of financial markets. In the same way,
large studies on impact of different kind of information on financial markets was studied
based on this model such as merger, acquisition, non economic event, change in economic
policies and in our case natural disaster.

2. The case of natural disaster and the evolution of financial literature trough the
time
There is not much literature which speak about statistical tools to measure the effect of natural
disasters on financial markets. Indeed, most of subjects were addressed in 90s years, when the
significant growth of natural disasters and their damage beginning to awaken the spirits of the
possible economic and financial impact. Thoughts have naturally turned to the first key
industries and began to focus on insurer stock price behavior after natural disasters. Indeed,
this industry are affected by catastrophic events in more complex ways than most noninsurance firms. It is in this limited financial context that two big hypotheses were studied.
Firstly, some researchers assume that there is a benefit for insurance industry after a disaster
because it involves an increase in demand for their products through an increase in both
required coverage and additional premium earnings. It was studied by Shelor et al. (1992) and
Aiuppa et al. (1993), it was found that insurer stock values increased and had a 2%
cumulative abnormal return over the three weeks following the 1989 Californias Loma Prieta
earthquake because high earthquake insurance rates and low perceived risk meant many
property owners were uncovered at the time.

The second obviously hypothesis state that we can think that large premiums paid to contract
holders in case of natural disaster involve large losses for insurance industry. Effectively, a
large part of them are hedged by reinsurance but for the market, the expectation of the impact
involves panic behavior and a decline of insurer stocks price. This first focus was studied in
this way by Sprecher and Pertl (1983) and Davidson, Chandy and Cross (1987) who find that
large loss due to acts of nature and airline disasters are incorporated into stock prices with
significant negative returns.
Lamb (1995) and Angbazo & Narayanan (1996) who found large negative effect of Florida
and Louisianas Hurricane Andrew, and an increase in premium insufficient to cover losses.
Moreover, they showed evidence of a contagion effect to insurers with no claims exposure in
the hurricane affected states. Lastly, Cagle (1996) concluded that South Carolinas Hurricane
Hugo involved a high negative price reaction for insurers with high exposure and unaffected
for those with low exposure.
Moreover, it is important to note that issues of catastrophe risk involved the emergence of
new hedging products for insurance and reinsurance industry such as options and bonds (Cat
Bonds) which enables insurance companies to hedge their exposure by transferring risk to
investors, who take positions on the occurrence and cost of catastrophes. These products are
relatively new, but they have already established an important link between the insurance
industry and capital markets. It is discussed at length in Borden and Sarker (1996). Implied an
additional impact on FM.
The first studies on the effect of natural disasters on stock market as a whole appears in
2000s and begin with Worthington and Valadkhani (2004) who study the abnormal return
after a natural disaster in Australia. It is important to note that researches are divided in two
categories. Authors focus on return adjustment or volatility adjustment. These two parameters
are two related concepts in finance. Indeed, in the case of an investment in a risky financial
asset an investor will require a higher return in exchange for the risk. Conversely, an investor
who wants to improve the performance of its portfolio must agree to take more risks. Thus it
is important to study these two different parameters which are measured by different
statistical tools.

3. Return adjustment studies

In financial area, the return measure the gain or the loss of a security. In the case of a stock,
there is two types of income: the dividend corresponding to the share of income distributed
annually received by the shareholder, and gains or losses realized upon resale of shares.
There are two techniques to calculate profitability. The first of these is arithmetic. There is a
different value of the asset at the beginning and end of the period, it is added to income earned
during this period and is reported everything to the starting value. That seems obvious but
once observed several times, you can not add them directly. To do so, use logarithm return.
Accordingly, some researchers try to find the effect of financial disaster on stock market
return.
There is two best known methods in event studies. Indeed, the specific methodology
employed is very important because it affects the result of a test for market efficiency in our
case.
-

Intervention analysis & ARMA Model

Worthington and Valadkhani (2004) examined the impact of natural disasters on the
Australian equity market.
The paper used the daily price and accumulation returns over the period 31 December 1982 to
1 January 2002 for the All Ordinaries Index (comprised of over common shares of over 300
companies from the Australian Stock Exchange with the record of 42 natural disasters to
examine the impact. The log of the price is computed for the closing prices to produce a time
series of continuously compounded daily returns supposed stationary. In this study period,
authors use Emergency Management Australia records to identify dates of events.
-

Methodology:

Intervention analysis (first proposed by Box and Tiao in 1975 who applicate it to economic
and environmental issues) was used to estimate the effect of each natural disaster on the time
series. Intervention mean a change in something which modify the value of a series,
represented here by disasters. In this way, we want to estimate how much these interventions

had changed the series. ARMA was used to model returns before and after interventions, and a
variable was added to represent the intervention effect to returns after events.
a. The following ARMA process of order (k,q) specified in terms of the lag operator L
with no intervention is supposed like this:
y t =

q ( L )
E
k ( L ) t

k ( L ) represents a k-order polynomial lag operator

y is the market return in price or accumulation form
is a constant
q ( L ) denotes a q-order polynomial lag operator
is a white noise process
k is the number of autoregressive (AR) terms, q is the number of moving-average (MA) terms
The Autoregressive process regress the return on itself on k terms, and the Moving Average
regress the error term on itself on q terms, autocorrelation pattern can be removed from a
stationarized series by adding enough autoregressive terms.
The autocorrelation (AC) and partial autocorrelation (PAC) functions can be used to
determine accurate value of q and k. The magnitude and sign of the estimated coefficients on
these variables indicates the mean effect of each natural disaster category on market return.
b. Now to introduce the intervention effect, formula may be written as:
y t =

q ( L )
Et + D it
k ( L )

Dit are intervention variables (referred to natural disasters during our period)
are intervention parameters
and all other variables are as previously defined
Patterns for intervention effect can be constant, partial, gradually increasing or decreasing
And can be modeled as well.
c. To best gauge the impact of natural disasters, it is important to take into account
several feature of stock markets.
First, seasonality is a classic pattern in finance, and usually causes the series to be non
stationary. To capture any possible systematic underlying time series patterns in the data, we
can remove trends by seasonal differencing of the autoregressive term.

Secondly, exogenous variable can be added. It is important because it can isolate any other
macroeconomic intervention parameters which have an impact on returns:
y t =

q( L)
k ( L ) (1 Lr )

Et + D t + Du g ,t

are exogenous variables, Du are exogenous parameters

is a seasonal parameter, r is the seasonal lag term

Results:

Obviously, the conclusion of the study was that shocks provided by natural events and
disasters have an immediate influence on market returns, but it is important to note that
different kind of natural disaster had a mixed impact on market return. Indeed, cyclones and
bushfires are generally the most significant.
-

Limits:

The principal critic that we can make is that authors focus on a single country and on a
smaller, less liquid Australia market and dont compare across national market or try to find if
natural disasters affect a biggest economy such as United States.
Statistically, authors miss to take into account control variable which can have an impact on
the return of Australian Stock Exchange, such as exchange rate or other stock return. Indeed,
in a globalized world all stock markets are more or less correlated, especially with United
States Stock Market.
-

Event study methodology & Market model

Siqiwen Li. (2012) employs the event study methodology to evaluate the impact on several
natural disasters which occurred in the State of Queensland during 2005 to 2011 on the
Australian Equity market. But the Author doesnt take an index as a whole but divided the
examination across seven industries (agriculture, banking, insurance, mining, construction,
retailing and transportation). Indeed, Schwert (1981) suggested that firms stock price data are
more powerful because they incorporate all relevant information when they are available. The
log of the price is computed for the closing prices to produce a time series of continuously
compounded daily returns supposed stationary.

Author use event study methodology, which analyses differentiate between the returns that
would have been expected if the analyzed event would not have taken place (normal returns)
and the returns that were caused by the respective event (abnormal returns).
-

Methodology:

Authors identify a study period for each disasters and use event study methodology to analyze
the difference between the return that would have been expected if the event wasnt here
(normal return) which became the reference market and the return that was caused by the
respective event (abnormal return). This analysis is in two step:
a. Estimating the parameters of the market model based on data of a prior period to the
event, author use Market model:
^
Ri ,t = i+ i Rm , t + i, t
^
Ri ,t is the estimated daily equity return of firm i at day t
Rm , t is the return of the market portfolio (AOI)
i , i are respectively the estimated market model intercept independent of the market
performance and slope parameter
i , t is the error term which is assumed to be normally distributed and serially
independent
Parameters of this linear regression was estimated by Ordinary Least Squared methodology.
b. Analyzing the residual after applying this model to a time period which include the
announcement date:
AR i, t =R i ,t ^
Ri ,t
Ri ,t is the actual daily return of firm i for day t;
AR i, t is the abnormal return for firm i for day t.
and all other variables are as previously defined
c. Thus, the sum of abnormal return of all companies give the Average Abnormal Return:
n

AAR t =

1
ARi ,t
n j=0

n is the number of firms in the sample

and all other variables are as previously defined
d. To measure the total impact of the natural disasters over a particular period of time

10

(event window), add up average abnormal returns of sample firms to create a Cumulative
Abnormal Return:
t2

CAR(t 1, t 2)= AAR t

t =t 1

CAR(t 1,t 2) is the cumulative abnormal of sample firms on day t in the event window
t1 is the earliest date in the event window
t2 is the later date in the event window
and all other variables are as previously defined
-

Results:

The study obviously shows abnormal returns in all firms both negative for the most part and
positive which provide evidence that the disasters generated new information to the market
(The sign, magnitude and statistical significance of the excess returns indicate whether there
is a market response to new information). Firms of different sector had different reaction.
Insurance firms had negative reactions (maybe because of insured losses), while construction
industry are obviously less vulnerable. Surprisingly, banking, mining, and agriculture industry
appeared no significant reaction.
Author also show that negative returns appeared some days before disasters, it suggests that
the market may have anticipated these events because of media revelations and
meteorological forecasting. Abnormal returns appeared some days after disasters as well,
maybe because media hadnt all information immediately, and it is difficult to evaluate all
losses in a short time.
Generally, Australia equity market seemed efficient and absorbed information correctly and
immediately for these disasters and the direction of impact will depend on the industries of
that specific company.
Nannan Luo (2012) studied the impact of the Japanese earthquake 2011 on six stock markets
all over the world with event study methodology as well.
Authors funded that Japanese stock market was negatively impacted, and other stock markets
was smoothly impacted and re adjusted immediately, but insignificant statistically for the
most part. It is showed that as previous study, the direction of impact of the earthquake will
depend on the industries of that specific company, with negative and positive impact, which
explain the overall no significant impact of each global stock markets. The reaction also
appeared a little bit later du to delay of information caused by the earthquake.
11

Limits of these two study:

These authors based their study on the most famous and simple methodology by Fama, but
they miss the issue of autocorrelation which is obviously the case with financial data. Indeed,
autocorrelation violate the Ordinary Least Squared assumption that the error terms are
uncorrelated. With this false hypothesis in this case, estimation of parameters was biased.
To model the autocorrelation in regression analysis using time series data, we have to use an
Autoregressive model, Moving Average model, or a combined of Autoregressive Moving
Average model used by Worthington and Valadkhani in in the first study above.
Secondly, the

parameter in the linear market model used in the event study methodology

represent for a financial data the systematic risk, which are the excess of volatility on a market
portfolio. Indeed, it is a key parameter of the one factor Capital Asset Pricing model. For a
study of an index, the systematic risk is equal to 1, but it isnt the case for a firm. For
example, a traded company has its own beta, but this beta is not stable and changes when an
announcement has an effect on it. In our case, we can expect a change in beta when a natural
disaster appears.
Then the CAR methodology is susceptible to produce biased results. This issue can be take
into account with Intervention analysis by adding more exogenous variables which represent
the variation of the systematic risk (pre and post event) what Worthington and Valadkhani
dont take account as well.
But in reality, financial time series data are not linear and are heteroskedastic, variance are not
constant, it changes over time. In this way, beta or the slope coefficient of the market model is
conditional to the time. Thus financial disasters can impact return and volatility of stock
markets, we have to capture this on our model in order to have the best estimation.
4. Return and Volatility adjustment studies
Considered in finance as the basis for measuring risk, volatility is defined as a measurement
of the amplitudes of changes in financial assets. This quantification indeed uses the standard
deviation of changes in profitability, it is calculated by finding the squared root of the
variance (average of the squared deviations from the mean rate of return). For example, after
12

an important public news, during a stock market crash or a sharp fall in markets, volatility
increases sharply. Although the realized volatility of an asset may know "peaks", it also tends
to revert to its mean.
Thus, the higher the volatility of an asset is higher and investment in this asset is considered
risky and therefore more expected gain (or risk of loss) will be important.
Worthington (2008) returns to his previous study which he made with Valadkhani in 2004 on
the impact of natural disasters on the Australian stock market in order to take account of the
impact of them on the return and volatility.
He used the daily stock market return from 1980 to 2003 from the All Ordinary Index and
natural disasters from Emergency Management Australia. The log of the price is computed for
the closing prices to produce a time series of continuously compounded daily returns
supposed stationary.
-

Methodology:

To model the return and take account of the volatility, he used GARCH model in the mean.
GARCH model the variance of the return. In the return equation under heteroskedastic
feature, the error term is not constant and its variance is modeled by GARCH model.
GARCH is well known to capture long term memory and volatility clustering, which is more
adapted to financial data and to measure the magnitude and persistence of shocks. Indeed,
statistically ARCH is based on a Moving Average model to capture short term volatility
behavior, and GARCH add an Autoregressive feature to capture long term memory.
GARCH-M only introduce the conditional variance in the mean equation as an explanatory
variable, thus the return is in relationship with the risk as the CAPM model.
a. GARCH-m add a heteroskedastic term in the mean equation supposed like this:
t

y = i Dit + t + t
y is the market return in price
Dit are exogenous parameters (i natural disasters)
Du are exogenous parameters
is the error term which is normally distributed with zero mean and a variance of

2t

b. The variance of return is modeled by the GARCH process of order (p,q) supposed like

13

this:
p

t = 0 + i t i+ j t j
2

i=1

2t

0
i
-

j=1

is the return volatility or risk of the market

is the error term which is normally distributed with zero mean and a variance of
is the time invariant component of the variance
is the ARCH parameter and j is the GARCH parameter

2t

Results:

The results indicate significant negative ARCH and GARCH parameters. Thus volatility
shocks in the Australian market was strong and persist. But no significant negative variance
parameter in the mean equation. Thus natural disasters involve no systematic risk for the
Australian Stock Market. That can be explained by the well diversified index AOI. However,
specifics firms and areas as impacted.
-

Limits:

This study presents some limits. First, the author still missed to introduce more exogenous
variable which have an impact on stock market returns (as we seen above for his first study).
Secondly, financial data behavior could be more accounted. Indeed, stock return could be
modeled by ARMA process to remove autocorrelation features with intervention and
exogenous variables.
But these variable may also affect the volatility. Thus, the variance could be modeled by an
GARCH-X model which allow the conditional variance to depend on the intervention
variables and additional explanatory variables as the conditional mean. Thus, variables in the
mean equation measures the abnormal returns due to natural disasters, while variables in the
variance equation measures the impact on stock market volatility.
Moreover, we can consider an Exponential GARCH introduce by Nelson in 1991 to capture
the leverage effect of equity returns. This model is the most successful to model indices, Dima

14

Alberga, Haim Shalita, and Rami Yosef studied in 2008 the best asymmetric GARCH models
to estimate stock markets volatility.
Chapter 3
Conclusion
Resumer principaux resultats
Indiquer comment le travail pourrait etre completer par autre etude

Detailler les analyse des auteurs, les donnes utilize les resultats les methods, faire des beaux
tableaux. Comparer tout ca et faire une conclusion qui repondrait a la problematique par
rapport a la revue de literature.

15

References

Aiuppa, T., Carney, R. J., & Krueger T. M. (1993) An examination of insurer stock prices
following the 1989 Loma Prieta earthquake, Journal of Insurance Issues.
Angbazo, L.A. and Narayanan, R. (1996) Catastrophic shocks in the property-liability
insurance industry: Evidence on regulatory and contagion effects, Journal of Risk and
Insurance.
Borden, S. and Sarker, A. (1996) Securitising property catastrophe risk, Current Issues in
Economics and Finance.
Box, G.E.P. and Tiao, G.C. (1975) Intervention analysis with applications to economic and
environmental problems, Journal of the American Statistical Association.
Bureau dAssurance du Canada (2014), Reduisons limpact financier et economique des
catastrophes.
Cagle, J.A.B. (1996) Natural disasters, insurer stock prices and market discrimination: The
case of Hurricane Hugo, Journal of Insurance Issues.
Davidson, W., Chandy, P. and Cross, M. (1987) Large losses, risk management and stock
returns in the airline industry, Journal of Risk and Insurance.
Dima Alberga, Haim Shalita, and Rami Yosef (2008) Estimating stock market volatility
using asymmetric GARCH models, Applied Financial Economics.
Fama, E. F. (1965) The Behavior of Stock Market Prices, Journal of Business.
Fama, E. F., Fisher, L., Jensen, M. C. & Roll, R. (1969) The Adjustment of Stock Prices to
New Information, International Economic Review.
Fama, E. F. (1970) Efficient Capital Markets: A Review of Theory and Empirical Work,
Journal of Finance.
Groupe dexperts intergouvernemental sur levolution du climat (2011), Rapport special sur
levolution du climat et la gestion des risques de catastrophes et de phenomenes extremes
pour les besoins de ladaptation au changement climatique (SREX).
Lamb, R.P. (1995) An exposure-based analysis of property-liability insurer stock values
around hurricane Andrew, Journal of Risk and Insurance.
Nannan Luo (2012), The Impact of Natural Disasters on Global Stock Market: the Case of
the Japanese 2011 Earthquake, Saint Marys University, Halifax, Nova Scotia.

Schwert (1981) Using Financial Data To Measure Effects of Regulation, Journal of Law
and Economics.
Shelor, R., Anderson, D. and Cross, M. (1992) Gaining from loss: Property-liability insurer
stock values in the aftermath of the 1989 California earthquake, Journal of Risk and
Insurance.
Siqiwen Li. (2012) The Australian Capital Market Reaction to Natural Catastrophes: an
empirical analysis using event study method, Global Accounting, Finance and Economics
Conference, 20-21 February 2012, Melbourne
Sprecher, C. and Pertl, M. (1983) Large losses, risk management and stock prices, Journal
of Risk and Insurance.
Worthington, A. C. & Valadkhani, A. (2004). Measuring the impact of natural disasters on
capital markets: an empirical application using intervention analysis, Applied Economics.
Worthington (2008). The impact of natural events and disasters on the Australian stock
market: A GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires, Global
Business and Economics Review.