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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)

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    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.

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    File URL: http://region-developpement.univ-tln.fr/fr/pdf/R26/Marais.pdf
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    Bibliographic Info

    Article provided by Region et Developpement, LEAD, Universite du Sud - Toulon Var in its journal Région et Développement.

    Volume (Year): 26 (2007)
    Issue (Month): ()
    Pages: 13-33

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    Handle: RePEc:tou:journl:v:26:y:2007:p:13-33

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    Related research

    Keywords: CRISES FINANCIÈRES; CONTAGION; NON LINEARITÉS;

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