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Contagion in the East Asian Stock Markets - Evidence from the 2007-2010 Financial Crisis

Burzynska, Katarzyna and Johansson, Carina (2010)
Department of Business Administration
Abstract
This thesis investigates the possible contagion effects between the US and East Asian markets during the recent financial crisis of 2007-2010. We focus on the developing stock markets of Malaysia, Thailand, South Korea, Philippines, China and Indonesia. The applied approach is based on the relatively new method advanced by Pesaran and Pick (2007) and extended by Masacci (2007) using a Full Information Maximum Likelihood (FIML). The results suggest that the transmission of shocks across the markets included in our sample cannot only be attributed to real economic linkages and there are also contagion effects present. Moreover our comparative analysis of contagion coefficients across the Asian countries suggests that the magnitude of drop in... (More)
This thesis investigates the possible contagion effects between the US and East Asian markets during the recent financial crisis of 2007-2010. We focus on the developing stock markets of Malaysia, Thailand, South Korea, Philippines, China and Indonesia. The applied approach is based on the relatively new method advanced by Pesaran and Pick (2007) and extended by Masacci (2007) using a Full Information Maximum Likelihood (FIML). The results suggest that the transmission of shocks across the markets included in our sample cannot only be attributed to real economic linkages and there are also contagion effects present. Moreover our comparative analysis of contagion coefficients across the Asian countries suggests that the magnitude of drop in stock market indices differs and it might be contributed to diverse capital control levels and different involvement of foreign investors in the market. (Less)
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author
Burzynska, Katarzyna and Johansson, Carina
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Management of enterprises, Investors, Financial Crisis, FIML, Contagion, East Asia, Företagsledning, management
language
Swedish
id
1615274
date added to LUP
2010-06-07 00:00:00
date last changed
2012-04-02 18:15:19
@misc{1615274,
  abstract     = {This thesis investigates the possible contagion effects between the US and East Asian markets during the recent financial crisis of 2007-2010. We focus on the developing stock markets of Malaysia, Thailand, South Korea, Philippines, China and Indonesia. The applied approach is based on the relatively new method advanced by Pesaran and Pick (2007) and extended by Masacci (2007) using a Full Information Maximum Likelihood (FIML). The results suggest that the transmission of shocks across the markets included in our sample cannot only be attributed to real economic linkages and there are also contagion effects present. Moreover our comparative analysis of contagion coefficients across the Asian countries suggests that the magnitude of drop in stock market indices differs and it might be contributed to diverse capital control levels and different involvement of foreign investors in the market.},
  author       = {Burzynska, Katarzyna and Johansson, Carina},
  keyword      = {Management of enterprises,Investors,Financial Crisis,FIML,Contagion,East Asia,Företagsledning,management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Contagion in the East Asian Stock Markets - Evidence from the 2007-2010 Financial Crisis},
  year         = {2010},
}