Financial Market Contagion in the Asian Crisis
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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.
Series:
Working Paper No. 1998/155
Subject:
Currencies Currency markets Exchange rates Financial institutions Financial markets Foreign exchange Money Stock markets Stocks
English
Publication Date:
November 1, 1998
ISBN/ISSN:
9781451857283/1018-5941
Stock No:
WPIEA1551998
Pages:
61
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