Crisis transmission: Some evidence from the Asian financial crisis

Financial instability: Contagion effects, risk premiums, and returns in equity and currency markets

“…They use a generalized impulse response analysis that is not sensitive to the ordering of the variables to ensure that their results are not spurious. Gong et al (2004), with data covering currencies in the same time period, report that their results are not very sensitive to the ordering of the currencies, which tends to support the robustness of the current study.…”

“…This helps to determine the time path of any shocks on the currencies. Like the study of Gong, Lee, and Chen (2004) in this issue of the journal, the authors also control for the optimal lag structures and the ordering of the currencies. They use a generalized impulse response analysis that is not sensitive to the ordering of the variables to ensure that their results are not spurious.…”

Reforms in Thai bank governance: The aftermath of the Asian financial crisis

“…This paper examines the impact of Thai bank governance reforms introduced after the Asian financial crisis in 1997. The crisis commenced in Thailand with major currency devaluation in July 2, 1997 and then transmitted to other Asian economies (Gong, Lee, & Chen, 2004). The aftermath in Thailand was the closure of a major bank and 56 (out of 91) finance companies, and the merger of 3 banks and 12 financial institutions.…”

Volatility transmission and volatility impulse response functions among the Greater China stock markets

“…are about 28% and 10% respectively for the one-step ahead expected conditional variance. The impact of the shock on the Mainland China and Taiwan markets displays similar pattern as both 18 According to Karolyi (2002), the Asian financial crisis ended on December 1998, in which most of the Asian economies had recovered to pre-crisis level of GDP and their respective currencies almost ended the depression spree and regained stability.…”

“…But one facet of this crisis that did not receive much attention is its impact on stock market volatility. Therefore, the VIRF method will be employed to examine the effect of the event on stock market volatilities in the Greater China region.Although the Asian financial crisis lasted one year and a half18 , the crisis culminated on October 27, 1997 with the mini-crash in global stock markets, which has been considered as the beginning of the end of the 1990s global economic boom. However, due to locating in the different time horizons, the whole information on the mini-crash was fully absorbed by stock markets in the Greater China region on the following day, i.e.…”