What triggers market jitters: a chronicle of the Asian crisis
AbstractIn the chaotic financial environment of Asia in 1997-1998, daily changes in stock prices of about 10 percent became commonplace. This paper analyzes what type of news moves the markets in those days of market jitters. We find that movements are triggered by local and neighbor-country news, with news about agreements with international organizations and credit rating agencies having the most weight. However, some of those large changes cannot be explained by any apparent substantial news, but seem to be driven by herd instincts of the markets itself. The evidence suggests that investors over-react to bad news.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 634.
Date of creation: 1999
Date of revision:
Other versions of this item:
- Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
- Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters? A chronicle of the Asian crisis," Policy Research Working Paper Series 2094, The World Bank.
- NEP-ALL-1999-05-03 (All new papers)
- NEP-FMK-1999-05-03 (Financial Markets)
- NEP-HIS-1999-05-03 (Business, Economic & Financial History)
- NEP-PKE-1999-05-03 (Post Keynesian Economics)
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