What happened to pacific-basin emerging markets after the 1997 financial crisis?

Joo Ha Nam, Ky-hyang Yuhn and Sang Bong Kim ()

Applied Financial Economics, 2008, vol. 18, issue 8, 639-658

Abstract: The stock prices of Asian emerging markets have been at tandem with sharp moves of the US market since the 1997 financial crisis. This study investigates how the 1997 crisis has changed Asian emerging markets by focusing on price and volatility spillovers from the US market to five Pacific-Basin emerging markets, Hong Kong, Singapore, South Korea, Malaysia, and Taiwan. We have used daily stock prices from 3, January 1995 to 24, April 2001 and compared the spillover effects between the prior- and post-crisis periods employing an EGARCH model. The influence of US innovations on stock prices in the region increased after the 1997 financial crisis (only with the exception of the Malaysian market), but the influence of US shocks on market volatility decreased substantially after the crisis (only with the exception of the Korean market). South Korea and Malaysia pursued different approaches to coping with the financial crisis, and their different programs led to opposite shifts in price and volatility spillovers after the crisis.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100701222275 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:18:y:2008:i:8:p:639-658

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100701222275

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().