Do hurricanes cause storm on the stock market? The case of US energy companies

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE
Roman Horváth , Anna Kalistová , Štefan Lyócsa , Marta Miškufová , Michala Moravcová
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引用次数: 0

Abstract

We examine the effect of hurricanes on the stock market, specifically on US energy companies. Unlike in the previous literature, we identify the timing and severity of hurricane events using the attention they receive online. Using our improved measure of hurricane events, we estimate dynamic common correlated effect panel models with daily and intraday stock returns over the last two decades and find that stock returns increase and stock volatility decreases following hurricanes. We argue that these results fit well with the energy supply and demand shock explanation and the limited attention hypothesis.
飓风会给股市带来风暴吗?以美国能源公司为例
我们研究了飓风对股市的影响,特别是对美国能源公司的影响。与之前的文献不同,我们利用飓风在网上收到的关注来确定飓风事件的时间和严重程度。使用改进的飓风事件度量,我们估计了过去20年股票日收益和盘中收益的动态共同相关效应面板模型,发现飓风过后股票收益增加,股票波动性降低。我们认为这些结果很好地符合能源供需冲击解释和有限注意假设。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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