| Contagious Effects during the Asian Financial Crisis： Some Evidence from ADR and Country Funds | |
|---|---|
| 學年 | 90 |
| 學期 | 1 |
| 發表日期 | 2001-12-15 |
| 作品名稱 | Contagious Effects during the Asian Financial Crisis： Some Evidence from ADR and Country Funds |
| 作品名稱（其他語言） | |
| 著者 | Chung, Huimin |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 會議名稱 | 第10屆證券暨金融市場理論與實務研討會 |
| 會議地點 | 高雄, 臺灣 |
| 摘要 | This paper investigates the impact of exchange-rate changes of Thailand baht on prices, trading activity, and liquidity of the ADR and country funds listed in NYSE and Nasdaq during the Asian crisis. Our results demonstrate that there are contagious effects of baht exchange rate changes on returns of Asian and East Europe ADR and country funds. Contagious effects on volatility of Asian ADR and country funds are observed. There is evidence that Thailand baht depreciation triggers a sell-off of Asian country funds, showing investors’ loss of confidence of Asian securities during the Asian crisis. However, there is no evidence that baht depreciation triggers a sell-off of non-Asian ADR and country funds. |
| 關鍵字 | Contagious effect;Asian financial crisis;ADR;Country fund |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國內 |
| 校內研討會地點 | |
| 研討會時間 | 20011215~20011215 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | 紙本 |
| 出處 | 第10屆證券暨金融市場理論與實務研討會論文集，30頁 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95256 ) |
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