Financial Market Contagion in the Asian Crisis
AbstractThis 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.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 98/155.
Date of creation: 01 Nov 1998
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Other versions of this item:
- Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussÃ£o, Department of Economics PUC-Rio (Brazil) 400, Department of Economics PUC-Rio (Brazil).
- F30 - International Economics - - International Finance - - - General
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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