Effect of catastrophic disaster in financial market contagion
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 cal...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2017.1288772 |
| _version_ | 1819297157822283776 |
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| author | Md. Noman Siddikee Mohammad Mafizur Rahman |
| author_facet | Md. Noman Siddikee Mohammad Mafizur Rahman |
| author_sort | Md. Noman Siddikee |
| collection | DOAJ |
| description | 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 persists only between Australia and Hong Kong and the economic linkage of Australia and Taiwan has notably increased. The negative z score with (p > 0.05) confirms absence of contagion effect in New Zealand, India, and Japan after shocks. The findings of the study recommend the Hong Kong and Indian investors to carefully examine the catastrophe-sensitive industry before taking major investment decisions. |
| first_indexed | 2024-12-24T05:09:33Z |
| format | Article |
| id | doaj.art-b85e673b23004200a9e857378c6fe763 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-24T05:09:33Z |
| publishDate | 2017-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-b85e673b23004200a9e857378c6fe7632022-12-21T17:13:43ZengTaylor & Francis GroupCogent Economics & Finance2332-20392017-01-015110.1080/23322039.2017.12887721288772Effect of catastrophic disaster in financial market contagionMd. Noman Siddikee0Mohammad Mafizur Rahman1Jahangirnagar UniversityUniversity of Southern QueenslandThe 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 persists only between Australia and Hong Kong and the economic linkage of Australia and Taiwan has notably increased. The negative z score with (p > 0.05) confirms absence of contagion effect in New Zealand, India, and Japan after shocks. The findings of the study recommend the Hong Kong and Indian investors to carefully examine the catastrophe-sensitive industry before taking major investment decisions.http://dx.doi.org/10.1080/23322039.2017.1288772financial market volatilitycontagionenvironmental catastrophe |
| spellingShingle | Md. Noman Siddikee Mohammad Mafizur Rahman Effect of catastrophic disaster in financial market contagion Cogent Economics & Finance financial market volatility contagion environmental catastrophe |
| title | Effect of catastrophic disaster in financial market contagion |
| title_full | Effect of catastrophic disaster in financial market contagion |
| title_fullStr | Effect of catastrophic disaster in financial market contagion |
| title_full_unstemmed | Effect of catastrophic disaster in financial market contagion |
| title_short | Effect of catastrophic disaster in financial market contagion |
| title_sort | effect of catastrophic disaster in financial market contagion |
| topic | financial market volatility contagion environmental catastrophe |
| url | http://dx.doi.org/10.1080/23322039.2017.1288772 |
| work_keys_str_mv | AT mdnomansiddikee effectofcatastrophicdisasterinfinancialmarketcontagion AT mohammadmafizurrahman effectofcatastrophicdisasterinfinancialmarketcontagion |