Market anomalies and disaster risk: Evidence from extreme weather events

Lanfear, Matthew G.; Lioui, Abraham; Siebert, Mark

doi:10.1016/j.finmar.2018.10.003

Cited by 95 publications

(57 citation statements)

References 46 publications

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“…On the other hand, motivated by Lanfear et al (2018), abnormal illiquidity is only able to account for a small fraction of the observed abnormal returns caused by extreme weather events [18]. We then explore whether, during dayto-day counterparts, liquidity can still have a significant influence on the correlation between geomagnetic activities and the stock market indices.…”

Section: Introductionmentioning

confidence: 89%

“…During a hurricane, assets with higher liquidity suffer more loss than assets with lower liquidity, such as gold [18]. Motivated by Amihud (2002), we consider the illiquidity index to represent this variation [21].…”

Section: Illiqmentioning

confidence: 99%

“…(2018) [18]. One potential explanation for the results about variation in market liquidity is that they are influenced by geomagnetic waves subconsciously or unconsciously; investors suffer bad moods which lead to a preference for more meaningful decisions and an increase in risk aversion [23,24].…”

Section: Variation Inmentioning

confidence: 99%

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Effect of Ap-Index of Geomagnetic Activity on S&P 500 Stock Market Return

Peng

Pan

2019

Advances in Astronomy

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Geomagnetic activity with global influence is an essential object of space weather research and is a significant link in the section of the solar wind-magnetospheric coupling process. Research so far provides strong evidence that geomagnetic activity affects stock investment decisions by influencing human health, mood, and human behaviours. Therefore, this research investigates the empirical association between geomagnetic activity and stock market return. Overall, we find that geomagnetic activity exerts a negative influence on the return of the US stock market. Further, market liquidity effectively magnifies the effect of geomagnetic activity. Inconsistent with previous literature, this effect is not mainly caused by the semiannual variation of geomagnetic activity. Our research contributes to the introduction of geomagnetic indices to financial economics studies on the impact of geomagnetic activity influence on stock market return.

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Section: Introductionmentioning

confidence: 89%

Section: Illiqmentioning

confidence: 99%

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Effect of Ap-Index of Geomagnetic Activity on S&P 500 Stock Market Return

Peng

Pan

2019

Advances in Astronomy

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“…Bai et al (2019) applied rare disasters to a general equilibrium model and found that the capital asset pricing model (CAPM) considering emergencies can better reflect the stock price. Lanfear, Lioui, and Siebert (2018) studied the impact of US hurricanes on stock returns and found that emergencies affecting consumer growth will impact the stock market. Yin, Lu, and Pan (2020) studied the impact of the Sino-US trade war on the Chinese stock market and found that negative events have a longer-lasting impact on the stock market than positive events.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market

Sun

Zhang

et al. 2020

Emerging Markets Finance and Trade

513

349

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In this article, we use an event study approach to empirically study the market performance and response trends of Chinese industries to the COVID-19 pandemic. The study found that transportation, mining, electricity & heating, and environment industries have been adversely impacted by the pandemic. However, manufacturing, information technology, education and health-care industries have been resilient to the pandemic.

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“…By using data of 13 OECD countries over the period from 1972 to 2002, Ioannidis and Kontonikas ( 2008 ) find that monetary policy shifts significantly affect stock returns. Landfear et al ( 2019 ) document abnormal negative effects on stock returns due to the U.S. landfall hurricanes.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 and instability of stock market performance: evidence from the U.S.

2021

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The effect of COVID-19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID-19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st, 2019 to June 30th, 2020 by using the methodologies of Bai and Perron (Econometrica 66:47–78, 1998. 10.2307/2998540; J Appl Econo 18:1–22, 2003. 10.1002/jae.659), Elliot and Muller (Optimal testing general breaking processes in linear time series models. University of California at San Diego Economic Working Paper, 2004), and Xu (J Econ 173:126–142, 2013. 10.1016/j.jeconom.2012.11.001). The results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the break is consistent with the COVID-19 outbreak, or more specifically the stock selling-offs by the U.S. senate committee members before COVID-19 crashed the market. Furthermore, return predictability and price volatility significantly increased following the derived break. The findings suggest that the pandemic crisis was associated with market inefficiency, creating profitable opportunities for traders and speculators. Furthermore, it also induced income and wealth inequality between market participants with plenty of liquidity at hand and those short of funds.

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Market anomalies and disaster risk: Evidence from extreme weather events

Cited by 95 publications

References 46 publications

Effect of Ap-Index of Geomagnetic Activity on S&P 500 Stock Market Return

Effect of Ap-Index of Geomagnetic Activity on S&P 500 Stock Market Return

COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market

COVID-19 and instability of stock market performance: evidence from the U.S.

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