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

M. G. Figueroa (), M. C. Mariani () and M. B. Ferraro ()
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M. G. Figueroa: Dep. de Física, 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;

International Journal of Theoretical and Applied Finance (IJTAF), 2003, vol. 06, issue 06, 605-612

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.

Keywords: Financial markets; crashes; critical phenomena; Ising model (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024903002110

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