Exploring the Impact of Natural Disasters on the Return Volatility of the Stock Market and Insurance Industry in the US
(2024) NEKN02 20241Department of Economics
- Abstract
- This study utilizes data from 2000 to 2024 together with an EGARCH approach to model the volatility of two indices, the S&P 500 and the S&P 500 Property and Casualty Insurance Sub Industry Index. Which in this paper acts as proxies for the stock market and the property and casualty insurance industry in the US respectively. Data from The Emergency Events Database is used to incorporate disaster events as dummy variables into the conditional variance equation of the EGARCH model, to determine what kind of impact natural disasters have on the volatility. The main results from the study indicate that natural disasters have no significant impact whatsoever on the volatility of the two indices. With no notable differences being observed... (More)
- This study utilizes data from 2000 to 2024 together with an EGARCH approach to model the volatility of two indices, the S&P 500 and the S&P 500 Property and Casualty Insurance Sub Industry Index. Which in this paper acts as proxies for the stock market and the property and casualty insurance industry in the US respectively. Data from The Emergency Events Database is used to incorporate disaster events as dummy variables into the conditional variance equation of the EGARCH model, to determine what kind of impact natural disasters have on the volatility. The main results from the study indicate that natural disasters have no significant impact whatsoever on the volatility of the two indices. With no notable differences being observed regardless of whether the disasters are treated as one group, separated into different subtypes or grouped based on the length of the event. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9156138
- author
- Olsson, Christopher LU
- supervisor
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Natural disasters, Volatility, Property and Casualty insurance, EGARCH, US stock market
- language
- English
- id
- 9156138
- date added to LUP
- 2024-08-12 15:59:04
- date last changed
- 2024-08-12 15:59:04
@misc{9156138, abstract = {{This study utilizes data from 2000 to 2024 together with an EGARCH approach to model the volatility of two indices, the S&P 500 and the S&P 500 Property and Casualty Insurance Sub Industry Index. Which in this paper acts as proxies for the stock market and the property and casualty insurance industry in the US respectively. Data from The Emergency Events Database is used to incorporate disaster events as dummy variables into the conditional variance equation of the EGARCH model, to determine what kind of impact natural disasters have on the volatility. The main results from the study indicate that natural disasters have no significant impact whatsoever on the volatility of the two indices. With no notable differences being observed regardless of whether the disasters are treated as one group, separated into different subtypes or grouped based on the length of the event.}}, author = {{Olsson, Christopher}}, language = {{eng}}, note = {{Student Paper}}, title = {{Exploring the Impact of Natural Disasters on the Return Volatility of the Stock Market and Insurance Industry in the US}}, year = {{2024}}, }