Citation

Ferreira S, Karali B. PLoS One 2015; 10(7): e0133319.

Affiliation

Department of Agricultural and Applied Economics, The University of Georgia, Athens, Georgia, United States of America.

Copyright

(Copyright © 2015, Public Library of Science)

DOI

10.1371/journal.pone.0133319

PMID

26197482

PMCID

PMC4510879

Abstract

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years.

RESULTS show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets.

RESULTS also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.

Language: en