Financial market contagion in the Asian crisis

Ilan Goldfajn and Taimur Baig ()

No 400, Textos para discussão from Department of Economics PUC-Rio (Brazil)

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.

JEL-codes: F30 F40 G15 (search for similar items in EconPapers)
Pages: 55 pages
Date: 1999-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (306)

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http://www.econ.puc-rio.br/uploads/adm/trabalhos/files/td400.pdf (application/pdf)

Related works:
Journal Article: Financial Market Contagion in the Asian Crisis (1999)
Working Paper: Financial Market Contagion in the Asian Crisis (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:400

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