Broome, Simon J.
(2004)
Stock prices as a leading indicator of the
East Asian financial crisis.
Journal of Asian Economics, 15.
pp. 189-197.
ISSN 1049-0078
Abstract
Using a basic monetary model, we assess the effectiveness of stock prices as a leading indicator of
the East Asian currency crisis in 1997 and 1998. Stock prices are incorporated into a monetary model,
through the wealth effect postulated by Friedman [J. Pol. Econ. 96 (1988) 221]. In addition to the
domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan. Using
monthly data, the results indicate that the domestic stock price, the Hong Kong stock price and
particularly US prices are significant leading indicators of the crisis. Causality tests suggest evidence
of bi-causality between the stock markets and foreign exchange markets.
| Item Type: |
Article
|
| Keywords: |
Currency crisis; Stock prices; Monetary model; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
8428 |
| Depositing User: |
Dr Simon Broome
|
| Date Deposited: |
11 Jul 2017 11:13 |
| Journal or Publication Title: |
Journal of Asian Economics |
| Publisher: |
Elsevier |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
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