Has 1997 Asian Crisis Increased Information Flows between International Markets?

36 Pages Posted: 16 Jul 2001

See all articles by Francisco J. Climent

Francisco J. Climent

University of Valencia - Department of Financial Economics

Vicente Meneu

University of Valencia - Department of Financial Economics

Date Written: Undated

Abstract

The Asian crisis started on July 2, 1997 and caused turmoil in developed as well as emerging international stock markets. The objective of this paper is to analyse the movements and dynamic relationships among stock markets, together with their implications for information flows. We use the Morgan Stanley National and International Indexes (MSCI). These indexes refer to four geographic areas (Asia, Europe, North America and Latin America) for two homogeneous and non-overlapping time intervals. The econometric techniques used in this paper include the cointegration test, vector autoregression analysis, forecast error variance decomposition and impulse-response relationships. Our results show that: i) there are no multivariate cointegration relationships across markets, ii) the leadership role played by the U.S. became stronger after the crisis, iii) the response of Asian markets to external markets is more relevant than vice versa, especially after the crisis, iv) the degree of integration, in Phylaktis (1999) sense, between Asian and the rest of the international stock markets has increased after the crisis and, finally, v) the contagion effect determines significantly the dynamic relationships between international stock markets.

Keywords: Asian crisis, stock market, information flow, cointegration, VAR

JEL Classification: C32, F21, F32, F36, G15

Suggested Citation

Climent Diranzo, Francisco José and Meneu Ferrer, Vicente, Has 1997 Asian Crisis Increased Information Flows between International Markets? (Undated). Available at SSRN: https://ssrn.com/abstract=267829 or http://dx.doi.org/10.2139/ssrn.267829

Francisco José Climent Diranzo (Contact Author)

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain
00-34-963828369 (Phone)
00-34-963828370 (Fax)

HOME PAGE: http://www.uv.es/~fcliment

Vicente Meneu Ferrer

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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