IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997

  • D Brookfield
  • A Azizan
Registered author(s):

    In looking to explain the possible transmission and causal flows in volatility between financial markets during an economic crisis and the impact of possible contagion, we examine the specific circumstances surrounding the role of the development of futures index trading in Malaysia in relation to the East Asian (or Asian) crisis of the late 1990's. Specifically, our main contribution is to assess whether an undeveloped and subsequently developing futures market had the 'efficiency capacity' to transmit fair prices and, failing that, whether price contagion was spread via futures index trading.

    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.economicissues.org.uk/Files/206Brookfield.pdf
    Download Restriction: no

    Article provided by Economic Issues in its journal Economic Issues.

    Volume (Year): 11 (2006)
    Issue (Month): 2 (September)
    Pages: 1-18

    as
    in new window

    Handle: RePEc:eis:articl:206brookfield
    Contact details of provider: Postal:
    Burton Street, Nottingham, NG1 4BU

    Web page: http://www.economicissues.org.uk

    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Gong, Shang-Chi & Lee, Tsong-Pei & Chen, Yea-Mow, 2004. "Crisis transmission: Some evidence from the Asian financial crisis," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 463-478.
    2. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    3. In, Francis & Kim, Sangbae & Yoon, Jai Hyung & Viney, Christopher, 2001. "Dynamic interdependence and volatility transmission of Asian stock markets: Evidence from the Asian crisis," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 87-96.
    4. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    5. Reside, Renato E, Jr & Gochoco-Bautista, Maria Socorro, 1999. "Contagion and the Asian Currency Crisis," Manchester School, University of Manchester, vol. 67(5), pages 460-474, Special I.
    6. Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
    7. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    8. Giulio Cifarelli, 1998. "The exchange rate crisis of September 1992 and the pricing of Italian financial futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(7), pages 827-849, October.
    9. Sander, Harald & Kleimeier, Stefanie, 2003. "Contagion and causality: an empirical investigation of four Asian crisis episodes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 171-186, April.
    10. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
    11. repec:oxf:wpaper:2000-w22 is not listed on IDEAS
    12. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    13. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
    14. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    15. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    16. Jian Yang & James Kolari & Insik Min, 2003. "Stock market integration and financial crises: the case of Asia," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 477-486.
    17. Zhong, Maosen & Darrat, Ali F. & Otero, Rafael, 2004. "Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3037-3054, December.
    18. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    19. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    20. Patricia M. Anderson & Bruce D. Meyer, 1998. "Using a Natural Experiment to Estimate the Effects of the Unemployment Insurance Payroll Tax on Wages, Employment, Claims, and Denials," NBER Working Papers 6808, National Bureau of Economic Research, Inc.
    21. Warren Bailey & Kalok Chan & Y. Peter Chung, 2000. "Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence," Journal of Finance, American Finance Association, vol. 55(6), pages 2693-2717, December.
    22. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    23. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
    24. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, vol. 12(4), pages 529-546.
    25. Chung, Huimin, 2005. "The contagious effects of the Asian financial crisis: some evidence from ADR and country funds," Journal of Multinational Financial Management, Elsevier, vol. 15(1), pages 67-84, February.
    26. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
    Full references (including those not matched with items on IDEAS)

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

    When requesting a correction, please mention this item's handle: RePEc:eis:articl:206brookfield. 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: (Dan Wheatley)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.