Was financial market contagion the source of economic crisis in Asia?

Effects of Interest Rate and Exchange Rate on Volatility of Market Index at Dhaka Stock Exchange

“…The researchers of both studiesbelieve that the sharp depreciation of the Thai baht causes depreciation of other currencies in the region which in turn contributes to the collapse of the stock markets of that region. But the findings of Granger causality and impulse response function of Khalid and Kawai's (2003) study does not show strong evidence for such contagion among different markets and different countries within the Asian region. Whereas the later study shows that Indonesian, Korean and Thai currency depreciation and Hong Kong stock price declines had impacts on other currencies and stock prices in the region during the crisis period.…”

“…The crisis results stock prices and exchange rate to fall across Asian markets significantly. Numerous studies suggest that the changes in expected stock returns should be linked to the changes in exchange rates.To examine the origin and the subsequent impact of the 1997 Asian Financial Crisis, Khalid and Kawai (2003) attempts to assess the relationship of three financial market variablesforeign exchange rates, stock market prices and interest rates of nine East Asian countries using VAR model. Hashimoto and Ito (2004) also attempt such study on the eight countries in the region during the period of Asian currency crisis, 1997-1999 and considered two variables-exchange rate and stock price.…”

The Impact of Policy Announcement on Stock Market Volatility: Evidence from Currency Demonetisation in India

“…Bailey and Chung (1995) tried to investigate the impact of exchange rate fluctuations and political risk on the risk premium on individual stocks and found evidence in favour of the study. Similar evidence was documented by , Khalid and Kawai (2003). in his seminal on political event and its impact on stock market documented that Cuban crisis (1962), has the major impact on stock market prices.…”

A note on the interaction between stock prices and exchange rates in Middle-East economies

“…It is believed that the 1997 Asian financial crisis, which started as an exchange rate crisis in Thailand and then led to the depreciation of other currencies in the region, resulted in the collapse of the stock markets (Hatemi-J & Roca, 2005;Khalid & Kawai, 2003). 2.…”