Financial Market Contagion in the Asian Crisis
November 1, 1998
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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.
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-Thailand equity, Malaysia's spread, market mayhem, stock index, Stock markets, Stocks, Thai baht, WP
Pages:
61
Volume:
1998
DOI:
Issue:
155
Series:
Working Paper No. 1998/155
Stock No:
WPIEA1551998
ISBN:
9781451857283
ISSN:
1018-5941
