Hypothese 2: Orkanen hebben een meer significant effect op de rendementen van de
7. Conclusie
7.1 Aanbevelingen voor verder onderzoek
In dit onderzoek werd een concreet beeld geschept van de effecten van extreme weersomstandigheden in de Verenigde Staten op de S&P 500 gedurende de periode 2010-2019. Door de keuze voor een event study werd de onderzochte hoeveelheid extreme weersomstandigheden beperkt tot rampen die gedurende een relatief korte periode
plaatsvonden. Derhalve kan het nuttig zijn om via een andere methodologie ook de effecten van langdurige weersgerelateerde rampen zoals hittegolven en bosbranden na te gaan. Verder kan het bestuderen van een andere periode een nuttige aanvulling vormen op dit onderzoek, om op deze manier in een vergelijkend onderzoek na te gaan hoe de impact van extreme weersomstandigheden varieert over de tijd heen. Tot slot kan dit onderzoek worden uitgebreid naar andere gebieden en aandelenindexen.
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9. APPENDIX
ROBUUSTHEIDSCONTROLE – CONSTANT MEAN MODEL
HYPOTHESE 1: EXTREME WEERSOMSTANDIGHEDEN LEIDEN TOT AFWIJKENDE RENDEMENTEN OP DE S&P 500 INDEX
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 -0,0029% -0,0176 0 0,0191% 0,1155 1 0,0188% 0,1137 2 0,0391% 0,2366 3 0,0018% 0,0108 4 -0,0130% -0,0785 5 -0,1356% -0,8198 6 -0,2358% -1,4260 7 0,0788% 0,4763 8 -0,1851% -1,1192 9 0,0299% 0,1809 10 -0,2722% -1,6463
Tabel 29: Gemiddelde AR over alle events voor de S&P 500 – constant mean model
HYPOTHESE 2: ORKANEN HEBBEN EEN MEER SIGNIFICANT EFFECT OP DE RENDEMENTEN VAN DE S&P 500
Beschrijving event CAR T-waarde
Orkaan Michael
(10/10/2018 – 11/10/2018) 9,0478% -4,4095
Tabel 30: Significante events doorheen de tijd voor de S&P 500: focus op orkanen – constant mean model
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 -0,1904% -0,6761
1 -0,2120% -0,7527 2 -0,0917% -0,3257 3 0,3840% 1,3638 4 0,1839% 0,6532 5 -0,7195% -2,5552 6 -0,2864% -1,0171 7 0,6229% 2,2122 8 0,0344% 0,1220 9 -0,2705% -0,9606 10 -0,0991% -0,3519
Tabel 31: Gemiddelde AR over alle events binnen de S&P 500: focus op orkanen – constant mean model
HYPOTHESE 3: EXTREME WEERSOMSTANDIGHEDEN HEBBEN EEN VERSCHILLEND EFFECT OP DE VERSCHILLENDE SECTOREN VAN DE S&P 500
DE VERZEKERINGSSECTOR
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 -0,1169% -0,6005 0 -0,0184% -0,0944 1 -0,1715% -0,8811 2 0,0059% 0,0304 3 0,0477% 0,2449 4 -0,0470% -0,2414 5 -0,1041% -0,5351 6 -0,2232% -1,1468 7 0,1800% 0,9250 8 -0,5301% -2,7244 9 0,1432% 0,7358 10 -0,2630% -1,3514
DE ENERGIESECTOR
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 0,5228% 1,7948 0 0,1501% 0,5152 1 0,1720% 0,5906 2 -0,1758% -0,6037 3 0,0022% 0,0076 4 0,2822% 0,9690 5 -0,3455% -1,1861 6 -0,3702% -1,2710 7 0,3047% 1,0460 8 -0,0225% -0,0774 9 -0,0756% -0,2596 10 -0,2616% -0,8982
Tabel 33: Gemiddelde AR over alle events binnen de energiesector – constant mean model DE INDUSTRIËLE SECTOR
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 0,0058% 0,0286 0 -0,0613% -0,3030 1 0,0713% 0,3526 2 0,0136% 0,0675 3 0,0391% 0,1935 4 -0,1306% -0,6461 5 -0,2109% -1,0434 6 -0,3073% -1,5204 7 0,1171% 0,5795 8 -0,1173% -0,5801 9 0,0229% 0,1133 10 -0,3313% -1,6391
DE NUTSSECTOR
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-1 0,0224% 0,1444 0 -0,0821% -0,5288 1 -0,1168% -0,7525 2 -0,2606% -1,6786 3 -0,0520% -0,3347 4 0,0045% 0,0287 5 -0,2651% -1,7078 6 -0,0555% -0,3578 7 -0,0118% -0,0761 8 -0,3198% -2,0600 9 -0,1249% -0,8042 10 -0,0598% -0,3851
Tabel 35: Gemiddelde AR over alle events binnen de nutssector – constant mean model
ROBUUSTHEIDSCONTROLE – ALTERNATIEVE WINDOWS
HYPOTHESE 1: EXTREME WEERSOMSTANDIGHEDEN LEIDEN TOT AFWIJKENDE RENDEMENTEN OP DE S&P 500 INDEX
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,3703% 2,1255 -2 0,0226% 0,1295 -1 -0,0214% -0,1226 0 0,0355% 0,2036 1 0,0237% 0,1361 2 0,0372% 0,2135 3 -0,0090% -0,0517 4 -0,0162% -0,0932 5 -0,1311% -0,7527 6 -0,2327% -1,3356
7 0,0768% 0,4410 8 -0,1959% -1,1241 9 0,0444% 0,2546 10 -0,2641% -1,5160 11 -0,0461% -0,2645 12 0,2065% 1,1854 13 -0,1550% -0,8896 14 -0,0998% -0,5730 15 0,0417% 0,2392
Tabel 36: Gemiddelde AR over alle events voor de S&P 500 – marktmodel – alternatief event- en estimation window
Gemiddelde CAR 0,3127%
SE 0,0076
T-waarde gemiddelde CAR -0,4117
Tabel 37: Gemiddelde CAR over alle events en over de tijd voor de S&P 500 – marktmodel - alternatief event- en estimation window
HYPOTHESE 2: ORKANEN HEBBEN EEN MEER SIGNIFICANT EFFECT OP DE RENDEMENTEN VAN DE S&P 500
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,7147% 1,8166 -2 0,0976% 0,2480 -1 -0,2157% -0,5483 0 -0,1593% -0,4048 1 -0,2352% -0,5979 2 -0,1242% -0,3158 3 0,3569% 0,9070 4 0,1585% 0,4030 5 -0,7399% -1,8806 6 -0,2978% -0,7569 7 0,5903% 1,5005
8 0,0072% 0,0183 9 -0,2712% -0,6893 10 -0,1084% -0,2756 11 0,1334% 0,3390 12 0,1949% 0,4953 13 -0,0770% -0,1956 14 -0,1744% -0,4432 15 0,0519% 0,1320
Tabel 38: Gemiddelde AR over alle events binnen de S&P 500: focus op orkanen – marktmodel - alternatief event- en estimation window
Gemiddelde CAR 0,0977%
SE 0,0171
T-waarde gemiddelde CAR -0,0570
Tabel 39: Gemiddelde CAR over alle events en over de tijd voor de S&P 500: focus op orkanen – marktmodel - alternatief event- en estimation window
HYPOTHESE 3: EXTREME WEERSOMSTANDIGHEDEN HEBBEN EEN VERSCHILLEND EFFECT OP DE VERSCHILLENDE SECTOREN VAN DE S&P 500
DE VERZEKERINGSSECTOR
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,3042% 1,4830 -2 -0,0309% -0,1509 -1 -0,1348% -0,6572 0 -0,0384% -0,1874 1 -0,1108% -0,5400 2 0,0950% 0,4629 3 0,0446% 0,2175 4 -0,0703% -0,3426 5 -0,0973% -0,4742 6 -0,2427% -1,1835 7 0,1289% 0,6284
8 -0,5732% -2,7948 9 0,2169% 1,0573 10 -0,3220% -1,5701 11 -0,0638% -0,3111 12 0,2432% 1,1857 13 -0,0348% -0,1696 14 -0,0822% -0,4008 15 -0,0543% -0,2649
Tabel 40: Gemiddelde AR over alle events binnen de verzekeringssector – marktmodel - alternatief event- en estimation window
Gemiddelde CAR 0,8229%
SE 0,0089
T-waarde gemiddelde CAR -0,9204
Tabel 41: Gemiddelde CAR over alle events en over de tijd voor de verzekeringssector – marktmodel – alternatief event- en estimation window
DE ENERGIESECTOR
Beschrijving event CAR T-waarde
Orkaan Harvey (25/08/2017 – 28/08/2017) 10,5139% 2,2531 Orkaan Irma (06/09/2017 – 12/09/2017) 13,6844% 2,9236 Orkaan Michael (10/10/2018 – 11/10/2018) -14,6801% -2,5568
Tabel 42: Significante events doorheen de tijd voor de energiesector – marktmodel - alternatief event- en estimation window
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,5430% 1,8323
-2 0,4687% 1,5816
-1 0,3899% 1,3158
1 0,3159% 1,0659 2 0,0227% 0,0765 3 0,0215% 0,0725 4 0,2567% 0,8664 5 -0,4672% -1,5764 6 -0,2786% -0,9403 7 0,3174% 1,0710 8 -0,1608% -0,5424 9 -0,0246% -0,0829 10 -0,3465% -1,1692 11 -0,1203% -0,4059 12 0,2341% 0,7900 13 -0,3157% -1,0654 14 -0,3995% -1,3481 15 -0,3028% -1,0217
Tabel 43: Gemiddelde AR over alle events binnen de energiesector – marktmodel - alternatief event- en estimation window
Gemiddelde CAR 0,4470%
SE 0,0129
T-waarde gemiddelde CAR 0,3460
Tabel 44: Gemiddelde CAR over alle events en over de tijd voor de energiesector – marktmodel – alternatief event- en estimation window
DE INDUSTRIËLE SECTOR
Beschrijving event CAR T-waarde
Orkaan Michael
(10/10/2018 – 11/10/2018) -10,4609% -2,4046
Tabel 45: Significante events doorheen de tijd voor de industriële sector – marktmodel - alternatief event- en estimation window
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,2488% 1,2249 -2 0,1100% 0,5417 -1 0,0205% 0,1011 0 -0,0736% -0,3622 1 -0,0333% -0,1641 2 0,0850% 0,4184 3 -0,0018% -0,0091 4 -0,0274% -0,1350 5 -0,1071% -0,5273 6 -0,2605% -1,2827 7 -0,0296% -0,1459 8 -0,1371% -0,6750 9 0,0821% 0,4040 10 -0,4350% -2,1416 11 -0,0099% -0,0485 12 0,1701% 0,8378 13 -0,2078% -1,0231 14 -0,1241% -0,6113 15 0,0903% 0,4447
Tabel 46: Gemiddelde AR over alle events binnen de industriële sector – marktmodel - alternatief event- en estimation window
Gemiddelde CAR 0,6404%
SE 0,0086
T-waarde gemiddelde CAR -0,7234
Tabel 47: Gemiddelde CAR over alle events en over de tijd voor de industriële sector – marktmodel – alternatief event- en estimation window
DE NUTSSECTOR
Beschrijving event CAR T-waarde
Orkaan Sandy
(30/10/2012 – 31/10/2012) -7,3826% -2,9581 Noodweer in “The Great Plains”, het midwesten en
het oosten (18/05/2013 – 22/05/2013) -7,1085% -2,4498 Koudegolf in de VS
(14/02/2015 – 20/02/2015) -9,5366% -2,2255
Tabel 48: Significante events doorheen de tijd voor de nutssector – marktmodel - alternatief event- en estimation window
Aantal dagen ten opzichte van het event
Gemiddelde Abnormal Return (AR)
T-statistiek gemiddelde Abnormal Return (AR)
-3 0,1748% 1,0941 -2 0,1236% 0,7737 -1 0,0556% 0,3478 0 -0,1134% -0,7095 1 -0,1151% -0,7202 2 -0,2578% -1,6134 3 -0,0754% -0,4721 4 0,0897% 0,5615 5 -0,2355% -1,4742 6 -0,0751% -0,4702 7 -0,0431% -0,2696 8 -0,2739% -1,7145 9 -0,1084% -0,6785 10 -0,1208% -0,7564 11 -0,0821% -0,5139 12 0,1482% 0,9274 13 -0,0541% -0,3388 14 -0,1349% -0,8444 15 0,0531% 0,3321
Tabel 49: Gemiddelde AR over alle events binnen de nutssector – marktmodel - alternatief event- en estimation window