The Effects of the Asian Crisis on Global Equity Markets
We investigate the comovement of daily returns from 13 Asian and non-Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven-fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post-crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three-month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post-crisis interval was the result of subperiod transitory shocks
Year of publication: |
[2001]
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Authors: | Tuluca, Sorin A. |
Other Persons: | Zwick, Burton (contributor) |
Publisher: |
[2001]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
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