Contagion in the stock markets: The Asian financial crisis revisited

Saleheen Khan and Park, Kwang Woo (Ken)

Journal of Asian Economics, 2009, vol. 20, issue 5, 561-569

Abstract: This paper presents empirical evidence of herding contagion in the stock markets during the 1997 Asian financial crisis, above and beyond macroeconomic fundamental driven co-movements. We analyze the cross-country time-varying correlation coefficients among the stock prices for the countries of Thailand, Malaysia, Indonesia, Korea, and the Philippines, between crisis and tranquil periods. Macromodels are constructed and implemented to capture the pure contagion effects on the markets. After controlling for the economic fundamentals for the five countries, the paper finds strong evidence of herding contagion.

Keywords: Financial; markets; Currency; crisis; Herd; behavior; Contagion; Kalman; filter (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:20:y:2009:i:5:p:561-569

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