Title

Regional financial crises and equity market reactions: The case of East Asia.

SelectedWorks Author Profiles:

Todd M. Shank

Document Type

Article

Publication Date

2003

Date Issued

January 2003

Date Available

February 2012

Abstract

In this paper we investigate the relationship between regional financial turmoil and equity markets of three emerging Asian economies: Indonesia, Malaysia, and Thailand. The study focuses on the contagion of the regional banking and financial difficulties to security markets in these three countries. The VAR and bivariate GARCH model results show that, once the regional financial crisis spreads, equity markets decline and exacerbate the crisis. The speed with which equity markets respond to the regional liquidity and financial turmoil is quite similar despite disparate market capitalization and GDP of the regional economies. The volatility becomes persistent and the equity market and financial sector volatility appear to fuel fm1her volatility in one another. However, we show that Malaysia, the most developed of the sample markets, weathered the crisis quicker and more successfully than the other two. These results have important ramifications for financial market participants, local regulators, and international governing bodies such as the IMF.

Comments

Abstract only. At this time, full-text article is available only through licensed access provided by the publisher. Published in International Journal of Business, 8(1), 41-62. Members of the USF System may access the full-text of the article through the authenticated link provided.

Language

en_US

Publisher

Premier Pub

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.