Advanced Search
MyIDEAS: Login

"High-frequency Contagion between the Exchange Rates and Stock Prices during the Asian Currency Crisis"(in Japanese)

Contents:

Author Info

  • Hashimoto Yuko

    (Faculty of Economics, Toyo University)

  • Takatoshi Ito

    (Faculty of Economics, University of Tokyo)

Abstract

This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency contagion, impacts from the crisis origin country to another country, using daily exchange rate data. This paper extends the idea to including the crisis origins in the stock market that are identified separately from the crisis origins in the foreign exchange markets.. Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries. We use a friction model and a Tobit model to analyze the impact of a negative shock in one asset price to others. It is found, among others, that there was, in general, the contagion between the exchange rates and stock prices; that the stock prices in Hong Kong were found to suffer from contagious effects from the decline in the Asian currencies; and that Indonesian, Korean and Thai currency depreciation and Hong Kong stock price declines had impacts on other currencies and stock prices in the region during the crisis period.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cj124.pdf
Download Restriction: no

Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-124.

as in new window
Length: 41 pages
Date of creation: Feb 2005
Date of revision:
Handle: RePEc:tky:jseres:2005cj124

Contact details of provider:
Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033
Phone: +81-3-5841-5644
Fax: +81-3-5841-8294
Email:
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tky:jseres:2005cj124. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.