Financial Market Contagion in the Asian Crisis

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
Publication date: November 1998
ISBN: 9781451857283
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Contagion , Asian Crises , Financial Markets , news , correlations , correlation , dummy variables , significance level

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