CONTAGION EFFECTS OF THE ASIAN FINANCIAL CRISIS: REGIONAL OR GLOBAL IN SCOPE?
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This paper examines the University of Southern Indiana University of Southern Indiana North Dakota State University t11ne-dependence o f stock market rel11rn correlaticms. The increased frequency offinancial crises (currency. banking, eq11ity market.1) and the experience ofregional waves (ERM, Latin America. Asian) in such crises has focused attention on the phenomenon ofcontagion, whereby a crisis in one country leads to crises in other, geographically connected countries. Correlations represent one ofthe ways to determine the degree oflinkage across national equity markets. This paper examines the characteristics of the Asian financial crisis fiom the behavior o fstock prices in eight countries. Patterns in the comovements o f stock prices are examined he/ore, during and ajier the period ojfinancial turmoil in eight Asian economies. The findings ba:),ed on correlation and vector C/1ltoregression analyses are consistent with contagion effects among the selected equity markets. A measure o_/market integration calculated over the pre-crisis, crisis, and post-crisis periods suggests that five of the eight equity markets became more integrated in the global financial market context notwithstanding the turmoil surrounding the Asian financial crisis.
Abstract
This paper examines the University of Southern Indiana University of Southern Indiana North Dakota State University t11ne-dependence o f stock market rel11rn correlaticms. The increased frequency offinancial crises (currency. banking, eq11ity market.1) and the experience ofregional waves (ERM, Latin America. Asian) in such crises has focused attention on the phenomenon ofcontagion, whereby a crisis in one country leads to crises in other, geographically connected countries. Correlations represent one ofthe ways to determine the degree oflinkage across national equity markets. This paper examines the characteristics of the Asian financial crisis fiom the behavior o fstock prices in eight countries. Patterns in the comovements o f stock prices are examined he/ore, during and ajier the period ojfinancial turmoil in eight Asian economies. The findings ba:),ed on correlation and vector C/1ltoregression analyses are consistent with contagion effects among the selected equity markets. A measure o_/market integration calculated over the pre-crisis, crisis, and post-crisis periods suggests that five of the eight equity markets became more integrated in the global financial market context notwithstanding the turmoil surrounding the Asian financial crisis.