Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis

33 Pages Posted: 15 Feb 2008 Last revised: 6 May 2016

See all articles by Eelke de Jong

Eelke de Jong

Radboud University Nijmegen - Department of Economics

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Remco C. J. Zwinkels

Vrije Universiteit Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Date Written: February 14, 2008

Abstract

In this paper we develop and estimate a heterogeneous agents model with three different types of agents, switching beliefs, and two equity markets, Hong Kong and Thailand, in the period surrounding the Asian crisis. We find that investors are heterogeneous in their expectation formation strategies and that they switch between strategies conditional on previous performance of these strategies. The model shows that the crisis is triggered in Thailand as a result of an increased focus on the fundamental price. Furthermore, it is shown that the crisis spills to the Hong Kong market; therefore, there is evidence of shift-contagion.

Keywords: heterogeneous expectations, contagion, Asian crisis, dynamic models

JEL Classification: G12, G15

Suggested Citation

de Jong, Eelke and Verschoor, Willem F. C. and Zwinkels, Remco C.J., Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis (February 14, 2008). Journal of Economic Dynamics and Control, Vol. 33, No. 11, 2009. Available at SSRN: https://ssrn.com/abstract=1093308 or http://dx.doi.org/10.2139/ssrn.1093308

Eelke De Jong

Radboud University Nijmegen - Department of Economics ( email )

Room #50114
6500 HK Nijmegen
Netherlands
+31 24 3611974 (Phone)
+31 24 3611846 (Fax)

Willem F. C. Verschoor

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081 HV
Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Remco C.J. Zwinkels (Contact Author)

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, NL-1081HV
Netherlands
+31 20 59 85220 (Phone)

HOME PAGE: http://research.vu.nl/en/persons/remco-zwinkels

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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