The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors

Eric Ghysels () and Junghoon Seon

CIRANO Working Papers from CIRANO

Abstract: This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian financial meltdown and (2) there is a detailed data set available of all transactions by different types of protagonists, including foreign investors. The paper begins with establishing first the role of derivatives securities during the crisis. Once the role of futures contracts is understood, the paper examines whether derivatives trading by either domestic or non-resident investors, or both together, exerted a destabilizing influence during the crash. Nous étudions la crise financière asiatique et en particulier le marché coréen. Contrairement aux études précédentes, nous analysons le rôle des titres dérivés durant la crise et en particulier les transactions par des investisseurs étrangers. Nous démontrons l'impact négatif sur le marché causé par l'intervention de ces investisseurs.

Keywords: Herding; feedback trading; futures; Crise financière; titres dérivés (search for similar items in EconPapers)
JEL-codes: G10 G13 G15 G18 (search for similar items in EconPapers)
Date: 2000-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://cirano.qc.ca/files/publications/2000s-11.pdf

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:cir:cirwor:2000s-11

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().