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 Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 400.
Length: 55 pages
Date of creation: May 1999
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Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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