Currency crises and the stock market: empirical evidence for another type of twin crisis

Stefan Eichler () and Dominik Maltritz

Applied Economics, 2011, vol. 43, issue 29, pages 4561-4587

Abstract: We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1-2007Q4.

Date: 2011
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036846.2010.491474 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:applec:v:43:y:2011:i:29:p:4561-4587

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.asp

Access Statistics for this article

Applied Economics is edited by Mark Taylor

More articles in Applied Economics from Taylor and Francis Journals
Series data maintained by Michael McNulty ().