Stock‐market forecasts by Singapore newspapers before and after the 1997 Asian financial crisis

2002 ◽  
Vol 12 (1) ◽  
pp. 100-125 ◽  
Author(s):  
Choy How Yun ◽  
Koh Siau Wei ◽  
Tay Hwee Peng ◽  
Hao Xiaoming
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Asian Financial Crisis ◽  
Before And After

Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

2006 ◽  
Vol 09 (02) ◽  
pp. 297-315 ◽  
Author(s):  
Hwahsin Cheng ◽  
John L. Glascock
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
The United States ◽  
Asian Financial Crisis ◽  
Greater China ◽  
Market Linkages ◽  
Economic Area ◽  
Before And After

We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

scholarly journals Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina

2019 ◽  
Vol 18 ((1)) ◽  
Author(s):  
Marcos Vera Leyton
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Time Window ◽  
Sum Of Squares ◽  
Conditional Correlation ◽  
Cumulative Sum ◽  
Crisis Period ◽  
Dynamic Conditional Correlation ◽  
Highly Sensitive ◽  
Before And After

This document study the existence of financial crisis contagion, it defined like the transmission of the shocks between countries, which translates in increasing in the correlation anything beyond or fundamental link, taking as a source of contagion by EEUU, Brasil, and analyzing Mexico, Colombia, Peru, Chile and Argentina like “Infected” countries, for the period covered between July 3 of 2001, date of unification of the Colombia Stock Market, to July 3 of 2010. To identify crisis period, and to evoid volatility overestimation, it used the algorithm iterative cumulative sum of squares ICCS, developed by Inclan y Tiao (1994), additionally calculated the dynamic conditional correlation (DCC) Engle Model (2002). The document includes a review of several studies, concepts, and transmission (Contagion) methodologies, and it constitutes one of the few studies that includes Colombia like analysis source.  So this study verifies the existence of contagion in the countries studies, except Argentina, but warns that the measure of impact that a crisis in a given country has over other countries is highly sensitive to the way we choose the time window before and after the crisis.

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