High-Frequency Contagion of Currency Crises in Asia *
Takatoshi Ito () and
Asian Economic Journal, 2005, vol. 19, issue 4, 357-381
Using daily data from the Asian currency crisis, the present paper examines high-frequency contagion effects among six Asian countries. The 'origin' (of exchange rate depreciation, or decline in stock prices) and the 'affected' (currencies, or stock prices) in the daily spillover relationship were defined and identified. Indonesia is found to be the main origin country, affecting exchange rates of other countries. Contrary to conventional wisdom, evidence of high-frequency crisis spillover from the Thai exchange rate to other currencies was weak at best. There exists a high-frequency contagion in stock markets among East Asian countries. Contagion coefficients are positively correlated with trade indices, indicating that investors lower their financial assessment of a country that has trade linkage to a crisis origin country within days, if not hours, of a shock. Copyright 2005 East Asian Economic Association.
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2005&part=null link to full text (text/html)
Access to full text is restricted to subscribers.
Working Paper: High Frequency Contagion of Currency Crises in Asia (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:asiaec:v:19:y:2005:i:4:p:357-381
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1351-3958
Access Statistics for this article
Asian Economic Journal is currently edited by Sung Yun-Wing and Shigeyuki Abe
More articles in Asian Economic Journal from East Asian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().