MURAL - Maynooth University Research Archive Library

    Stock Prices as a leading Indicatator of the East Asian Financial Crisis.

    Broom, S. and Morley, B. (2003) Stock Prices as a leading Indicatator of the East Asian Financial Crisis. UNSPECIFIED. (Unpublished)

    [img] Download (116kB)

    Share your research

    Twitter Facebook LinkedIn GooglePlus Email more...

    Add this article to your Mendeley library


    Using a basic currency crisis 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 basic monetary model, through the wealth effect postulated by Friedman (1988). In addition to the domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan to determine their ability to predict the crisis. Using monthly data, the results indicate that the domestic stock price is a significant leading indicator, however the main stock prices indicator of the crisis is the Hong Kong stock price. In addition the US price level is also a highly significant predictor of the crisis. Causality tests suggest evidence of bi-causality between the stock markets and foreign exchange markets. JEL. F30, E44

    Item Type: Other
    Additional Information: N131/11/03
    Keywords: Currency Crisis, Stock Prices, Monetary Model.
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 129
    Depositing User: Ms Sandra Doherty
    Date Deposited: 11 Mar 2004
    Refereed: No
      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

      Repository Staff Only(login required)

      View Item Item control page


      Downloads per month over past year

      Origin of downloads