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Crisis, Contagion, and East Asian Stock Markets

Author

Listed:
  • Tracy Yang

    () (Division of Economics, Research School of Pacific and Asian Studies, Australian National University, Canberra, ACT 0200, Australia;
    Asian Development Bank Institute, 3-2-5-8 Kasumigaseki, Chiyoda-Ku, Tokyo 100-6008, Japan)

  • Jamus Jerome Lim

    () (Department of Economics, University of California, Santa Cruz, CA 95064, USA)

Abstract

Following the 1997 financial crisis in East Asia, the issue of contagion has resurfaced. Contagion has most often been associated with high frequency events; hence, it has been measured on stock market returns, interest rates, the exchange rate, or linear combinations of them. This paper tests for evidence of contagion between selected East Asian stock markets, thereby exploring the importance of the linkages between stock markets as a transmission channel during the crisis.

Suggested Citation

  • Tracy Yang & Jamus Jerome Lim, 2004. "Crisis, Contagion, and East Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 119-151.
  • Handle: RePEc:wsi:rpbfmp:v:07:y:2004:i:01:n:s0219091504000068
    DOI: 10.1142/S0219091504000068
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    References listed on IDEAS

    as
    1. Menzie D. Chinn & Hiro Ito, 2002. "Capital Account Liberalization, Institutions and Financial Development: Cross Country Evidence," NBER Working Papers 8967, National Bureau of Economic Research, Inc.
    2. Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
    3. Robert P. Flood & Nancy P. Marion, 1996. "Speculative Attacks: Fundamentals and Self-Fulfilling Prophecies," NBER Working Papers 5789, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Asian financial crisis; contagion; stock markets;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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