Arbeitspapier
Testing for Contagion during the Asian Crisis
This paper uses a stationary multivariate asymmetric GARCH specification of the international capital asset pricing model to investigate contagion effects across six developed and emerging East Asian markets as well as the US and the World markets around the time of the Asian currency crisis of 1997. After controlling for domestic shocks and spillover effects, the results suggest that the region's equity markets volatility processes display interdependence but little contagion. The results indicate contagion effects only from Thailand to Korea.
- Language
-
Englisch
- Bibliographic citation
-
Series: Claremont Colleges Working Papers in Economics ; No. 2001-23
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Thanyalakpark, Kessara
Filson, Darren
- Event
-
Veröffentlichung
- (who)
-
Claremont McKenna College, Department of Economics
- (where)
-
Claremont, CA
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Thanyalakpark, Kessara
- Filson, Darren
- Claremont McKenna College, Department of Economics
Time of origin
- 2001
Other Objects (12)
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
Financial market contagion in the Asian crisis
Contagion pattern identification through minimum spanning trees during the Asian financial crisis
Contagion Effects of the Asian Crisis, Policy Responses and Their Implications
A contagion through exposure to foreign banks during the global financial crisis
The Asian liquidity crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Currency Market Reactions to Good and Bad News During the Asian Crisis
Ratings since the Asian crisis
Upturn overshadowed by Asian crisis
The Asian financial crisis: Crisis, reform and recovery
The global crisis and equity market contagion
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
Financial market contagion in the Asian crisis
Contagion pattern identification through minimum spanning trees during the Asian financial crisis
Contagion Effects of the Asian Crisis, Policy Responses and Their Implications
A contagion through exposure to foreign banks during the global financial crisis
The Asian liquidity crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Currency Market Reactions to Good and Bad News During the Asian Crisis
Ratings since the Asian crisis
Upturn overshadowed by Asian crisis
The Asian financial crisis: Crisis, reform and recovery
The global crisis and equity market contagion
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
Financial market contagion in the Asian crisis
Contagion pattern identification through minimum spanning trees during the Asian financial crisis
Contagion Effects of the Asian Crisis, Policy Responses and Their Implications
A contagion through exposure to foreign banks during the global financial crisis
The Asian liquidity crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Currency Market Reactions to Good and Bad News During the Asian Crisis
Ratings since the Asian crisis
Upturn overshadowed by Asian crisis
The Asian financial crisis: Crisis, reform and recovery