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Financial Crises in Asia: Concordance by Asset Market or Country?

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Dungey, M and Jacobs, J 2010 , Financial Crises in Asia: Concordance by Asset Market or Country?.

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Abstract

This paper investigates the extent of concordance in financial crises by both asset market and country in six Asian countries over the period 1970-2002. To that purpose we adapt a concordance index to deal with the typically low incidence of financial crises in both bivariate and multivariate settings. We find that in the Asian countries
financial crises spread across markets over geographic borders rather than between markets within countries.

Item Type: Report (Discussion Paper)
Authors/Creators:Dungey, M and Jacobs, J
Keywords: Asia, Financial crisis, contagion, synchronisation, concordance indices,repec
Publisher: School of Economics and Finance, University of Tasmania, 2010-12
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