Asian Financial Crisis: An Analysis of the Contagion and Volatility Effects in the Case of Malaysia

Abstract

The emergence of the Asian financial crisis in July 1997 had a tremendous impact on the economies of the Asian countries. This study aims at linking the contagion theory and the crisis faced in Malaysia with more emphasis on the effect of the contagion volatility in the currency exchange market. This research uses the co-relation analysis, models of ARCH, GARCH and also GJR-GARCH in demonstrating the link. The results show that the crisis in Malaysia was not merely due to the weakness in its economic fundamentals, but also due to the contagion and volatility effects particularly originated from Thailand and Singapore. This study suggests the need for a more systematic management system with improved transparency in the financial sector even though the effect of the crisis contagion could hardly be prevented.

Financial market contagion: selective review of reviews

“…Policy makers have been trying to model financial contagion to facilitate investments and portfolio management in the time of uncertainty. Following are few studies, which have modeled contagion in the time of turbulence: Baig and Goldfajn (1998), Dungey et al (2006), Fernandez-Izquierdo and Lafuente (2004), Khalid and Rajaguru (2006), Kogid et al (2009), Guo et al (2011), Kazi et al (2011), Kenourgios et al (2011), Missio and Watzka (2011), Constancio (2012), Ahmad et al (2013), Dungey and Gajurel (2014), Jin and An (2016). Extensive research work on the subject has already provided enough evidence on the fact that contagion does exist internationally during the times of financial distress.…”

Faktor penentu kejayaan usahawan kuih tradisional di Daerah Papar, Sabah

“…Menurut Mori et al (2009), faktor penentu kejayaan usahawan adalah lebih terhadap kemudahan pembiayaan kewangan sama ada jangka pendek mahupun jangka panjang oleh pihak kerajaan.…”

Volatility of the Returns of the Mexican Stock Market Sectors during the Crises that Ocurred between 1998 and 2021

“…Kenourgios y Dimitriou (2014) utilizaron nueve índices sectoriales y encontraron evidencia de contagio en el mercado de valores agregado en ambas regiones, pero el resultado no apoyó la evidencia de contagio financiero interno del sector de la economía real en ambas regiones. Otros estudios que se enfocaron para probar contagio financiero mediante GARCH fueron los realizados por; Kogid et al (2009), Neaime (2012), Mondria y Quintana-Domeque (2013).…”