What triggers market jitters? A chronicle of the Asian crisis

被引：163

作者：

Kaminsky, GL ^{[1
]}

Schmukler, SL

机构：

[1] George Washington Univ, Dept Econ, Washington, DC 20052 USA

[2] World Bank, Washington, DC 20433 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1999年 / 18卷 / 04期

关键词：

financial markets; currency crises; herding behavior; contagion; crisis management;

D O I：

10.1016/S0261-5606(99)00015-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the chaotic financial environment of Asia in 1997-1998, daily changes in stock prices of about 10 percent became commonplace. This paper analyses what type of news moved the markets in those days of market jitters. We find that movements were triggered by local and neighboring-country news, with news about agreements with international organizations and credit rating agencies having the most weight. However, some of those large changes cannot be explained by any apparent substantial news, but seem to be driven by herd instincts of the market itself. The evidence suggests that investors over-react to bad news. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：537 / 560

页数：24

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