Financial Market Contagion in the Asian Crisis

November 1, 1998

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Format: Chicago

Taimur Baig, and Ilan Goldfajn. Financial Market Contagion in the Asian Crisis, (USA: International Monetary Fund, 1998) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.

Subject: Currencies, Currency markets, Exchange rates, Financial institutions, Financial markets, Foreign exchange, Money, Stock markets, Stocks

Keywords: Asia and Pacific, Asian Crises, Contagion, Correlations counterpart, Currencies, Currency markets, E.g Thailand-Philippines, East Asia, Exchange rates, Financial Markets, Interest rate correlation, Korea regression, Malaysia-Philippines case, Malaysia's spread, Malaysia-Thailand equity, Market mayhem, Stock index, Stock markets, Stocks, Thai baht, WP

Publication Details

Pages:

61
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1998/155
Stock No:

WPIEA1551998
ISBN:

9781451857283
ISSN:

1018-5941

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