Faculty Scholarship 1994 - Present

Emerging Market Crisis and the Asean-5 Stock Markets: 1997-1998

In this paper, we study the co-movements of the ASEAN-5 (Indonesian, Malaysian, Philippine, Singaporean, and Thai) stock markets during the 1997-1998 emerging markets crisis. The findings indicate that all five stock markets are strongly affected by the crisis and they have extremely close co-movements during the crisis period. The Sims (1980) test and the impulse analysis results indicate that the five stock markets have significant influence on each other with a time lag of up to eight trading days. The Granger (1969) causuality tests show that the lagged index returns of none of the five stock markets can explain its contemporaneous index returns significantly. This implies a high level of efficiency in the ASEAN-5 stock markets during the crisis.