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Financial Market Contagion in the Asian Crisis

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 1998Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Authors: Ilan Goldfajn; Ilan Goldfajn; Ilan Goldfajn; Taimur Baig;

doi: 10.2139/ssrn.142285 , 10.2307/3867666 , 10.5089/9781451857283.001

handle: 10419/186644

Financial Market Contagion in the Asian Crisis

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Abstract

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. We find that correlations in currency and sovereign spreads increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. We construct a set of dummy variables using daily news to capture the impact of own-country and cross-border news on the markets. We show that after controlling for own-country news and other fundamentals, there is evidence of cross-border contagion in the currency and equity markets. Copyright 1999, International Monetary Fund

Related Organizations

Pontifical Catholic University of Rio de Janeiro
Brazil
Central Bank of Brazil
Brazil
International Monetary Fund
United States
Departamento de Ecología
Spain
Gávea Investimentos
Brazil

Keywords

ddc:330, G15, Financial crisis;Malaysia;Korea, Republic of;Indonesia;Philippines;Thailand;Contagion, Asian Crises, Financial Markets, news, correlations, correlation, dummy variables, significance level, F40, F30, jel: jel:G15, jel: jel:F40, jel: jel:F30

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	554
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 1%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 0.1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 1%