Financial crises in Asia: concordance by asset market or country?

Mardi Dungey, Jan Jacobs and Lestano Lestano

No 10575, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

Abstract: This paper investigates the extent of concordance in financial crises by both asset market and country in six Asian countries over the period 1970-2002. To that purpose we adapt a concordance index to deal with the typically low incidence of financial crises in both bivariate and multivariate settings. We find that in the Asian countries financial crises spread across markets over geographic borders rather than between markets within countries.

Keywords: Asia; financial crisis; contagion; synchronisation; concordance indices (search for similar items in EconPapers)
JEL-codes: F31 F47 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2010-11-01, Revised 2010-11-01
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Citations: View citations in EconPapers (1)

Published by the University of Tasmania. Discussion paper 2010-12

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