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

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  • 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
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    Cited by:

    1. Jarosław Duda & Henryk Gurgul & Robert Syrek, 2022. "Multi-feature evaluation of financial contagion," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(4), pages 1167-1194, December.
    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. Gkillas, Konstantinos & Tsagkanos, Athanasios & Vortelinos, Dimitrios I., 2019. "Integration and risk contagion in financial crises: Evidence from international stock markets," Journal of Business Research, Elsevier, vol. 104(C), pages 350-365.
    4. Weber, Enzo, 2007. "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers 2007-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Hatice Gaye GENCER & Mehmet Yasin HURATA, 2017. "Risk Transmission and Contagion in the Equity Markets: International Evidence from the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 110-129, September.
    6. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    7. 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.
    8. Lau, Chi Keung Marco & Sheng, Xin, 2018. "Inter- and intra-regional analysis on spillover effects across international stock markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 420-429.

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