Crisis, Contagion, and East Asian Stock Markets

Tracy Yang · Jamus Jerome Lim

49 citations0/0 files storedReview of Pacific Basin Financial Markets and Policies

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

Abstract

Following the 1997 financial crisis in East Asia, the issue of contagion has resurfaced. Contagion has most often been associated with high frequency events; hence, it has been measured on stock market returns, interest rates, the exchange rate, or linear combinations of them. This paper tests for evidence of contagion between selected East Asian stock markets, thereby exploring the importance of the linkages between stock markets as a transmission channel during the crisis.

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References

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2005Financial Crisis and Intertemporal Linkages Across the ASEAN-5 Stock Markets 2007Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks 2011Volatility Spillover Effects in Emerging MENA Stock Markets 2019An empirical analysis of stock market interdependence and volatility spillover in the stock markets of Africa and Middle East region 2023Pengaruh Gaya Kepemimpinan dan Lingkungan Kerja Melalui Kompetensi terhadap Kinerja Dosen di Universitas Graha Karya Batang Hari

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