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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Claremont Colleges Working Papers in Economics ; No. 2001-23
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Thanyalakpark, Kessara
Filson, Darren
- Ereignis
-
Veröffentlichung
- (wer)
-
Claremont McKenna College, Department of Economics
- (wo)
-
Claremont, CA
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Thanyalakpark, Kessara
- Filson, Darren
- Claremont McKenna College, Department of Economics
Entstanden
- 2001
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