Financial Contagion and Investor "Learning": An Empirical Investigation
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
There have been several episodes of financial market "contagion" in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion driven by investor learning and risk reassessment about a select group of countries? We pursue these questions by studying the persistence in the spillover of shocks following the bond market developments in Hong Kong SAR in 1997. Our results suggest that this contagion, at least for a few countries, was a consequence of adverse sentiment shifts arising from investor learning and was not merely driven by changes in fundamentals.
Series:
Working Paper No. 2002/218
Subject:
Emerging and frontier financial markets Financial markets Financial services Foreign exchange Monetary base Money Real exchange rates Securities markets Yield curve
English
Publication Date:
December 1, 2002
ISBN/ISSN:
9781451875157/1018-5941
Stock No:
WPIEA2182002
Pages:
36
Please address any questions about this title to publications@imf.org