What triggers market jitters? A chronicle of the Asian crisis
AbstractIn the chaotic financial environment of East Asia in 1997-98, daily changes in stock prices of as much as 10 percent became commonplace. The authors analyze what type of news moved the market in those days of extreme market jitters. They find that movements are triggered by both local and neighbor-country news. News about agreements with international organizations and credit rating agencies have the most weight. Some of those large changes in stock prices, however, cannot be explained by any apparent substantial news but seem to be driven by herd instincts in the market itself. On average, the one-day market rallies are sustained with the largest one-day losses are recovered - suggesting that investors overreact to bad news.
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Bibliographic InfoPaper provided by The World Bank in its series Policy Research Working Paper Series with number 2094.
Date of creation: 30 Apr 1999
Date of revision:
Environmental Economics&Policies; Economic Theory&Research; Payment Systems&Infrastructure; Markets and Market Access; Financial Intermediation; Access to Markets; Markets and Market Access; Economic Theory&Research; Financial Intermediation; Environmental Economics&Policies;
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.
- Graciela L. Kaminsky & Sergio L. Schmukler, 1999. "What triggers market jitters: a chronicle of the Asian crisis," International Finance Discussion Papers 634, Board of Governors of the Federal Reserve System (U.S.).
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