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.