Effect of catastrophic disaster in financial market contagion

Abstract

Abstract:The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New Zealand, Hong Kong, Chinese, Taiwan, and Japanese capital markets due to Australian catastrophe. In the first stage, we employed two-variable vector autoregression (VAR) model for calculating the residuals of the daily index return. In the second stage, we used adjusted correlation coefficient for detecting the significant increase in correlation coefficient of the VAR residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria bushfire, a significant increase in the adjusted correlation coefficient of Australia with India and Hong Kong and their respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after the Victoria bushfire but the z < +1.96 with (p > 0.05) does not confirm contagion, but rather exposed the persistence of high economic linkage. Apart from this, a significant decrease in the correlation coefficients with New Zealand is evident with corresponding z < −1.96 and (p < 0.05) advocates low economic linkage among them. After New South Wales (NSW) bushfire, contagion

Firm Performance during COVID-19 Pandemic: Does Ownership Identity Matter? Evidence from Indonesia

“…Previous studies have focused on the consequences of catastrophic events on firm performance, for example, the studies that have focused on the impact of hurricane events (Schuwer et al 2019), (Dessaint and Matray 2017); bushfires (Siddikee and Rahman 2017); and financial crisis (Huang et al 2020), (D'Aurizio et al 2015), (Lins et al 2017), (Clarke et al 2012), (Mitton 2002), (Rajan and Zingales 1998). On 12 March 2020, the World Health Organization (WHO) confirmed the coronavirus disease (COVID-19) outbreak as a pandemic owing to its global impact on various sectors, including health and the real economy.…”