The Effects of the Asian Crisis on Global Equity Markets

Sorin A. Tuluca · Burton Zwick

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

Abstract We investigate the comovement of daily returns from 13 Asian and non‐Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven‐fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post‐crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three‐month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post‐crisis interval was the result of subperiod transitory shocks.

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1958The Varimax Criterion for Analytic Rotation in Factor Analysis 1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 1980An Empirical Investigation of the Arbitrage Pricing Theory 1978Introduction to Factor Analysis 1993International stock market linkages: Evidence from the pre- and post-October 1987 period 1999What Triggers Market Jitters? A Chronicle of the Asian Crisis

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