TY - JOUR
T1 - Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets
AU - Chancharoenchai, Kanokwan
AU - Dibooglu, Selahattin
N1 - Downloadable (with restrictions)! Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market.
PY - 2006/4/1
Y1 - 2006/4/1
N2 - Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine the behavior of individual markets and their interactions with other markets in the region. All models lend support to the idea of the "Asian contagion," which started in Thailand and rapidly spread to other markets.
AB - Using a multivariate generalized autoregressive conditional heteroskedasticity (GARCH-M) model, we investigate volatility spillovers in six Southeast Asian stock markets around the time of the 1997 Asian crisis. We focus on interactions with the U.S. market as a world financial market, and with the Japanese market as a regional financial market. We also use bivariate GARCH-M models to examine the behavior of individual markets and their interactions with other markets in the region. All models lend support to the idea of the "Asian contagion," which started in Thailand and rapidly spread to other markets.
UR - https://ideas.repec.org/a/mes/emfitr/v42y2006i2p4-17.html
U2 - 10.2753/REE1540-496X420201
DO - 10.2753/REE1540-496X420201
M3 - Article
VL - 42
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
ER -