THE IMPACT OF A RECENT NATURAL DISASTER ON THE JAPANESE FINANCIAL MARKETS: EMPIRICAL EVIDENCE
Bachar Fakhry, Bora Aktan, Omar Masood, Manuela Tvaronavičienė, Saban Celik
Financial Markets, Natural Disasters, Japan, EMH, Volatility tests
The devastating Japan earthquake (magnitude 9.0) and tsunami (39-metre high) of 2011, also called the Great Tohoku or Sendai earthquake, was a record-breaker natural disaster causing enormous damage and a nuclear meltdown at Fukushima nuclear power plant. This paper attempts to analyse the long and short run effects of this record-breaking natural disaster on the Japanese equity, debt and FX markets as well as Gold as one of the most popular metals and investment options, using daily data. A variance bound test proposed by Fakhry & Richter (2018) underpinned by the C-GARCH-t model of volatility is adopted. The results seem to indicate that the natural disaster influenced the efficiency of the market in the immediate terms more than the long term. In a global financial market where the key is competitiveness, it is essential to analyse the efficiency and therefore stability of the Japanese financial market. Therefore, analysing the impact of the natural disaster on the competitiveness of the Japanese financial market.
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Fakhry, B., Aktan, B., Masood, O., Tvaronavičienė, M., Celik, S. (2018). THE IMPACT OF A RECENT NATURAL DISASTER ON THE JAPANESE FINANCIAL MARKETS: EMPIRICAL EVIDENCE. Journal of Competitiveness, 10 (2), 56-71. https://doi.org/10.7441/joc.2018.02.04