The Effects of the Asian Crisis on Global Equity Markets

Sorin Tuluca and Burton Zwick

The Financial Review, 2001, vol. 36, issue 1, 125-41

Abstract: We investigate the comovement of daily returns from 13 Asian and non-Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven-fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post-crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three-month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post-crisis interval was the result of subperiod transitory shocks. Copyright 2001 by MIT Press.

Date: 2001
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