Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets
AbstractUsing a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine the behavior of individual markets and their interactions with other markets in the region. All models lend support to the idea of the "Asian contagion," which started in Thailand and rapidly spread to other markets.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 42 (2006)
Issue (Month): 2 (April)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
Asian financial crisis; contagion; stock markets; time series models;
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