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    Stock prices as a leading indicator of the East Asian financial crisis.


    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

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    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:

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