Financial Market Contagion in the Asian Crisis

Taimur Baig and Ilan Goldfajn

No 1998/155, IMF Working Papers from International Monetary Fund

Abstract: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.

Keywords: WP; e.g Thailand-Philippines; Malaysia-Philippines case; Malaysia-Thailand equity; Korea regression; stock index; Contagion; Asian Crises; Financial Markets; interest rate correlation; Thai baht; Malaysia's spread; correlations counterpart; market mayhem; Stock markets; Currency markets; Exchange rates; Currencies; Stocks; Asia and Pacific; East Asia (search for similar items in EconPapers)
Pages: 61
Date: 1998-11-01
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Citations: View citations in EconPapers (118)

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Related works:
Journal Article: Financial Market Contagion in the Asian Crisis (1999)
Working Paper: Financial market contagion in the Asian crisis (1999)
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