Financial Contagion and Investor Learning: An Empirical Investigation

Basu, Ritu

doi:10.2139/ssrn.880904

Cited by 3 publications

(1 citation statement)

References 1 publication

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“…2 Some research points out that the uncertainty transfers through contagion such that correlation between the interdependent economies substantially increases during turmoil times 3 (Froot et al, 2001). However, some studies preclude the contagion effect and report mere interdependence after adjusting the heteroscedasticity between the integrated economies (Basu, 2002). While others like Corsetti et al (2005) come with a combination of interdependence and contagion effect, thus pointing inconclusiveness.…”

Section: Introductionmentioning

confidence: 99%

Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis

Qureshi

Aftab

2020

Global Business Review

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Severe swings among the financial markets’ linkages in the recent past motivate the research to examine the exchange rate co-movements. Therefore, this study examines the interdependence and contagion among the exchange rates of five important Asian emerging markets, namely Indonesia, Malaysia, Philippines, Singapore and Thailand exploring the multifarious nature of interdependence and lead lag association using discrete and continuous wavelet decomposition. The findings show the co-movement among many exchange rate pairs showing a substantial increase during the global financial crisis. There are moderate rises in co-movements, indicating regional market convergence in the long run. Singapore seems to hold driving position and Indonesia falls behind in all exchange rate pairs of the ASEAN-5. The findings provide policy implications for caring the interdependence in foreign exchange markets.

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Section: Introductionmentioning

confidence: 99%