IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v18y2008i8p639-658.html
   My bibliography  Save this article

What happened to pacific-basin emerging markets after the 1997 financial crisis?

Author

Listed:
  • Joo Ha Nam
  • Ky-hyang Yuhn
  • Sang Bong Kim

Abstract

The stock prices of Asian emerging markets have been at tandem with sharp moves of the US market since the 1997 financial crisis. This study investigates how the 1997 crisis has changed Asian emerging markets by focusing on price and volatility spillovers from the US market to five Pacific-Basin emerging markets, Hong Kong, Singapore, South Korea, Malaysia, and Taiwan. We have used daily stock prices from 3, January 1995 to 24, April 2001 and compared the spillover effects between the prior- and post-crisis periods employing an EGARCH model. The influence of US innovations on stock prices in the region increased after the 1997 financial crisis (only with the exception of the Malaysian market), but the influence of US shocks on market volatility decreased substantially after the crisis (only with the exception of the Korean market). South Korea and Malaysia pursued different approaches to coping with the financial crisis, and their different programs led to opposite shifts in price and volatility spillovers after the crisis.

Suggested Citation

  • Joo Ha Nam & Ky-hyang Yuhn & Sang Bong Kim, 2008. "What happened to pacific-basin emerging markets after the 1997 financial crisis?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 639-658.
  • Handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:639-658
    DOI: 10.1080/09603100701222275
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701222275
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:rjr:romjef:v::y:2017:i:3:p:110-129 is not listed on IDEAS
    2. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    3. repec:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9391-0 is not listed on IDEAS
    4. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:18:y:2008:i:8:p:639-658. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.