MÉCANISMES DE PROPAG ATION RÉGIONALE DE LA CRISE BOURSIÈRE ASIATIQUE

Elise Marais ()
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Elise Marais: CEFI, Université de la Méditerranée

Region et Developpement, 2007, vol. 26, 13-33

Abstract: This paper studies the propagation mechanisms that may explain the regional contagion of the Asian stock market crisis of 1997-1998. Contagion is defined as non linearity in the shock propagation between markets. We estimate a full information model from January 1994 to October 2003 on the stock markets of four Asian countries: Thailand, Malaysia, the Philippines, and South Korea. The results show that there exist marked links pointing to the interdependence of the stock markets of the studied economies. During the Asian crisis, a structural break in normal links occurred, which highlighted the role of non linearities in spreading the shocks.

Keywords: CRISES FINANCIÈRES; CONTAGION; NON LINEARITÉS (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:tou:journl:v:26:y:2007:p:13-33

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