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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

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    1. Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test," Temi di discussione (Economic working papers) 408, Bank of Italy, Economic Research and International Relations Area.
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    3. Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
    4. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
    5. Robert P. Flood & Nancy P. Marion, 1996. "Speculative Attacks: Fundamentals and Self-Fulfilling Prophecies," NBER Working Papers 5789, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Chun-Pin Hsu & Chin-Wen Huang & Wan-Jiun Chiou, 2012. "Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 447-468, November.
    2. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
    3. Ani Stoykova & Mariya Paskaleva, 2018. "Correlation Dynamics between Southeast European Capital Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 49-82.

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    More about this item

    Keywords

    Asian financial crisis; contagion; stock markets;
    All these keywords.

    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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