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Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique

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  • Elise MARAIS

    (CEFI, Université de la Méditerranée)

Abstract

This paper studies the propagation mechanisms that may explain the regional contagion of the Asian stock market crisis of 1997-1998. Contagion is defined as non linearity in the shock propagation between markets. We estimate a full information model from January 1994 to October 2003 on the stock markets of four Asian countries: Thailand, Malaysia, the Philippines, and South Korea. The results show that there exist marked links pointing to the interdependence of the stock markets of the studied economies. During the Asian crisis, a structural break in normal links occurred, which highlighted the role of non linearities in spreading the shocks.

Suggested Citation

  • Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
    • Handle: RePEc:tou:journl:v:26:y:2007:p:13-33
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    More about this item

    Keywords

    CRISES FINANCIÈRES; CONTAGION; NON LINEARITÉS;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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