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Financial Market Contagion in the Asian Crisis

Taimur Baig () and Ilan Goldfajn

IMF Staff Papers, 1999, vol. 46, issue 2, 3

Abstract: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. We find that correlations in currency and sovereign spreads increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. We construct a set of dummy variables using daily news to capture the impact of own-country and cross-border news on the markets. We show that after controlling for own-country news and other fundamentals, there is evidence of cross-border contagion in the currency and equity markets. Copyright 1999, International Monetary Fund

JEL-codes: F30 F40 G15 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (286)

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Working Paper: Financial market contagion in the Asian crisis (1999) Downloads
Working Paper: Financial Market Contagion in the Asian Crisis (1998) Downloads
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