Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5087682 | Journal of Asian Economics | 2009 | 9 Pages |
Abstract
This paper presents empirical evidence of herding contagion in the stock markets during the 1997 Asian financial crisis, above and beyond macroeconomic fundamental driven co-movements. We analyze the cross-country time-varying correlation coefficients among the stock prices for the countries of Thailand, Malaysia, Indonesia, Korea, and the Philippines, between crisis and tranquil periods. Macromodels are constructed and implemented to capture the pure contagion effects on the markets. After controlling for the economic fundamentals for the five countries, the paper finds strong evidence of herding contagion.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Saleheen Khan, Kwang Woo (Ken) Park,