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The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model

Author

Listed:
  • M. G. Figueroa

    (Dep. de Física, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina;
    Dep. de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina)

  • M. C. Mariani

    (Dep. de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina)

  • M. B. Ferraro

    (Dep. de Física, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina;
    Dep. de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina)

Abstract

In the present work we have analyzed the financial Asian crisis of 1997, and its consequences on emerging markets. We have done so by means of a phase transition model originally presented by A. Johansen and D. Sornette [1].We have analyzed the crashes on leading indices of Hong Kong (HSI), Turkey (XU100), Mexico (MMX), Brazil (Bovespa) and Argentina (Merval).With the exception of Argentina's index, we were able to obtain optimum values for thecritical date, corresponding to the most probable date of the crash.

Suggested Citation

  • M. G. Figueroa & M. C. Mariani & M. B. Ferraro, 2003. "The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 605-612.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:06:n:s0219024903002110
    DOI: 10.1142/S0219024903002110
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    Cited by:

    1. Ferraro, Marta & Furman, Nicolas & Liu, Yang & Mariani, Cristina & Rial, Diego, 2006. "Analysis of intermittence, scale invariance and characteristic scales in the behavior of major indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 576-588.
    2. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
    3. Mariani, M.C. & Liu, Y., 2007. "A new analysis of the effects of the Asian crisis of 1997 on emergent markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 307-316.
    4. Mariani, Maria Cristina & Liu, Yang, 2006. "A new analysis of intermittence, scale invariance and characteristic scales applied to the behavior of financial indices near a crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 345-352.
    5. Mariani, M.C. & Liu, Y., 2007. "Normalized truncated Levy walks applied to the study of financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 590-598.

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