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What triggers market jitters: a chronicle of the Asian crisis

Graciela Kaminsky () and Sergio Schmukler ()

No 634, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In the chaotic financial environment of Asia in 1997-1998, daily changes in stock prices of about 10 percent became commonplace. This paper analyzes what type of news moves the markets in those days of market jitters. We find that movements are triggered by local and neighbor-country news, with news about agreements with international organizations and credit rating agencies having the most weight. However, some of those large changes cannot be explained by any apparent substantial news, but seem to be driven by herd instincts of the markets itself. The evidence suggests that investors over-react to bad news.

Keywords: Financial markets; Asia (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-his and nep-pke
Date: 1999
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