English, Article, Journal or magazine article edition: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis Wajih Khallouli; Essahbi Essaadi; Jamel Jouini; ...

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Bookmark: http://trove.nla.gov.au/version/105183
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis
Author
  • Wajih Khallouli
  • Essahbi Essaadi
  • Jamel Jouini
  • Walih Khallouli
Physical Description
  • preprint
Notes
  • In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.
  • Shift-contagion; time-varying correlation; sequential selection procedure
  • RePEc:hal:journl:halshs-00404386_v1
  • RePEc:hal:journl:halshs-00201220_v1
  • In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron’s (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.
  • sequential selection procedure, shift-contagion, time-varying correlation
  • RePEc:gat:wpaper:0725
Language
  • English
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