Crisis, Contagion, and East Asian Stock Markets

Tracy Yang () and Jamus Lim
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Tracy Yang: Division of Economics, Research School of Pacific and Asian Studies, Australian National University, Canberra, ACT 0200, Australia;

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2004, vol. 07, issue 01, 119-151

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.

Keywords: Asian financial crisis; contagion; stock markets (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1142/S0219091504000068

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