Diversification, rationality and the Asian economic crisis

Bowman, Robert G., Chan, Kam Fong and Comer, Matthew R. (2010) Diversification, rationality and the Asian economic crisis. Pacific Basin Finance Journal, 18 1: 1-23. doi:10.1016/j.pacfin.2009.05.003

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Author Bowman, Robert G.
Chan, Kam Fong
Comer, Matthew R.
Title Diversification, rationality and the Asian economic crisis
Journal name Pacific Basin Finance Journal   Check publisher's open access policy
ISSN 0927-538X
Publication date 2010-01-01
Year available 2010
Sub-type Article (original research)
DOI 10.1016/j.pacfin.2009.05.003
Open Access Status
Volume 18
Issue 1
Start page 1
End page 23
Total pages 23
Place of publication Amsterdam, The Netherlands
Publisher Elsevier BV, North-Holland
Collection year 2011
Language eng
Abstract We examine the reaction of world equity markets to the 1997 Asian Crisis. Correlations across the markets increased dramatically during the economic crisis but only during a relatively short period around the crisis. After the crisis, the benefits of international diversification improved substantially but did not return to the levels existing before the crisis. We then examine whether the market reactions to the crisis can be explained by economic fundamentals. We find that virtually all of the variation in returns across markets can be explained by these factors. The reaction of markets to the Asian Crisis was rational. © 2009 Elsevier B.V. All rights reserved.
Keyword Asian Crisis
Contagion
Economic fundamentals
International diversification
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Non HERDC
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 2 times in Thomson Reuters Web of Science Article | Citations
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Created: Tue, 08 Feb 2011, 00:47:48 EST by Dr Kam Chan on behalf of UQ Business School