Reportgreen1999

What Triggers Market Jitters? A Chronicle of the Asian Crisis

329 citations0/0 files storedWorld Bank policy research working paper

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Financial Markets and Investment Strategies Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

In the chaotic financial environment of Asia in 1997-1998, daily changes in stock prices of about 10 percent became commonplace. This paper analyzes what type of news moves the markets in those days of market jitters. We find that movements are triggered by local and neighbor-country news, with news about agreements with international organizations and credit rating agencies having the most weight. However, some of those large changes cannot be explained by any apparent substantial news, but seem to be driven by herd instincts of the markets itself. The evidence suggests that investors over-react to bad news.

Citations in this library

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Cited by

2006Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets 1999What triggers market jitters?2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model 2003Managers, investors, and crises: mutual fund strategies in emerging markets 2007Financial crisis and stock market efficiency: Empirical evidence from Asian countries 2005Testing for contagion: a conditional correlation analysis 2005Sovereign credit ratings: Guilty beyond reasonable doubt?2002Predicting Emerging Market Currency Crashes

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